Relevant bibliographies by topics / Liquidity and credit risks

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Liquidity and credit risks'

Author: Grafiati
Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Liquidity and credit risks"

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Ahamed, Faruque. "Determinants of Liquidity Risk in the Commercial Banks in Bangladesh." European Journal of Business and Management Research 6, no. 1 (February 19, 2021): 164–69. http://dx.doi.org/10.24018/ejbmr.2021.6.1.729.

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The study examines the bank-specific and external factors that affect the liquidity risk in commercial banks in Bangladesh. The study has been conducted using 23 banks data from 2005-2018, and panel data is used to conduct the regression analysis. Among the bank-specific factors, asset size has a negative relationship with liquidity risk. The larger the bank size, the better the liquidity position and the lower the liquidity risk. Return on equity and capital adequacy ratio has a positive but insignificant relationship with the liquidity risks. In the case of macroeconomic factors, inflation negatively affects the liquidity risks, whereas GDP and domestic credit positively affect. Private and public sector credits increase the investments, which in turn fuel GDP growth. Growth in domestic credit reduces liquidity and may create insolvency. The loan outstanding to asset ratio is positively related to the liquidity risk of the banks. Banks usually increase the loan/advance disbursement to increase profitability, which dries out liquidity and enhances liquidity risk. The study concludes that although several factors are found insignificant yet have positive/negative relation, the banks must carefully evaluate the factors to avoid a future liquidity crisis.
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Kouam, Henri. "Financial stability and liquidity risks in the banking sector across the CEMAC region." Business & Management Studies: An International Journal 9, no. 1 (March 25, 2021): 343–54. http://dx.doi.org/10.15295/bmij.v9i1.1788.

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How does credit from the financial sector and claims on the central government affect banking sector liquidity and financial stability risks? This paper constructs an algorithm, which investigates the impact of domestic credit from the financial sector, bank to capital assets ratio, claims on the central government on banking sector liquidity – a proxy for financial stability. The results show a positive and statistically significant impact of the capital assets ratio on the bank's liquidity of 3.1%. It equally finds that domestic credit and claims on central government hurt bank liquidity, notably of -0.15% and -2.5%, respectively. The study recommends that commercial banks invest in higher-value domestic projects to improve their profitability over the long-run, thereby boosting financial stability. Furthermore, the central bank should make additional liquidity for banks contingent on the amount of credit they provide to the real economy.
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Hammami, Haifa, and Younes Boujelbene. "FINANCIAL RISKS AND STOCK MARKET CRASHES: AN EMPIRICAL ANALYSIS OF THE TUNISIAN STOCK MARKET." Applied Finance Letters 10 (June 16, 2021): 10–23. http://dx.doi.org/10.24135/afl.v10i.379.

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This study aims to investigate the effect of financial risks on the stock market crashes occurrence from 1999 to 2020. Using the windows method, we detect two stock market crises in the Tunisian stock market. Based on the probit model, we find evidence that low stock return risk, low EUR/TND exchange rate risk, high interest rate risk, high credit risk and high liquidity risk increase the occurrence probability of stock market crashes. Our results suggest that the decrease in volatility, particularly in equity and exchange market, the increase in volatility in interest rate, the credit rating downgrades issued by Moody’s and the low liquidity market contribute to crashes in the Tunisian stock market. In summary, financial risks, which are the market risks, the credit risk and the liquidity risk could be leading indicators of crashes in the Tunisian stock market. Keywords: Stock market crashes; Liquidity risk; Credit risk; Market risks.
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Cai, Ruoyu, and Mao Zhang. "How Does Credit Risk Influence Liquidity Risk? Evidence from Ukrainian Banks." Visnyk of the National Bank of Ukraine, no. 241 (September 29, 2017): 21–32. http://dx.doi.org/10.26531/vnbu2017.241.021.

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This study investigates the link between two major risks in the banking sector: liquidity risk and credit risk. Utilizing a novel sample of Ukrainian banks for the period from Q1 2009 to Q4 2015, we document credit risk as having a positive relationship with liquidity risk. Our findings suggest banks with a high level of non-performing loans might not meet depositors’ withdrawal demands, which could lower cash flow and trigger depreciation in loan assets and consequently increase liquidity risk. Furthermore, we find this positive relationship between credit risk and liquidity risk is more pronounced in foreign banks and large banks. Our results are robust with respect to alternative measures of bank risks.
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Dewi, Eneng Trisnawati, and Wimpi Srihandoko. "Pengaruh Risiko Kredit dan Risiko Likuiditas Terhadap Profitabilitas Bank." Jurnal Ilmiah Manajemen Kesatuan 6, no. 3 (December 28, 2018): 131–38. http://dx.doi.org/10.37641/jimkes.v6i3.294.

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Banks in it’s operations are certainly unfree from various risks. The Bank's business risk is uncertainty about a predictable or unpredictable outcome. Non-Performing Loans (NPL) Are financial ratios related to credit risk. Loan to Deposit Ratio (LDR) is a financial ratio related to liquidity risk. This study aims to examine the relationship between credit risk and liquidity risk to profitability at 3 government banks. The data in this study are secondary data. The results of this study indicate that partially credit risk has a significant effect on profitability, and liquidity risk has no significant effect on profitability. Credit risk and liquidity risk simultaneously have an influence on profitability. Keywords: non performing loan, liquidity risk, profitability
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Farooq, Sheikh Muhammad Umer, and Muhammad Zubair Mumtaz. "Examining the Relationship Between Banking Competition and Solvency, Liquidity and Credit Risks in Pakistan." Journl of Applied Economics and Business Studies 4, no. 1 (March 30, 2020): 29–52. http://dx.doi.org/10.34260/jaebs.412.

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This study empirically examines the relationship between the banking competition and the risks faced by the financial sector (i.e. solvency, liquidity, and credit risks) considering 31 banks for the period 2001 to 2018. Banks are further sub-divided into three categories i.e. state-owned banks, foreign banks, and private/commercial banks. The results reveal that Pakistan’s banking industry is relatively elastic and an increase in competition is directly associated with solvency risk, liquidity risk and credit risk of financial institutions and these findings corroborate the competition fragility theory. Besides, state-owned banks have a lesser probability to cope with solvency risk, however, foreign banks appear to face the least liquidity risk whereas private banks appear to face the least credit risk among the entire cluster.
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Monfort, Alain, and Jean-Paul Renne. "Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*." Review of Finance 18, no. 6 (November 16, 2013): 2103–51. http://dx.doi.org/10.1093/rof/rft049.

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Zheng, Harry. "Interaction of credit and liquidity risks: Modelling and valuation." Journal of Banking & Finance 30, no. 2 (February 2006): 391–407. http://dx.doi.org/10.1016/j.jbankfin.2005.04.026.

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Gefang, Deborah, Gary Koop, and Simon M. Potter. "Understanding liquidity and credit risks in the financial crisis." Journal of Empirical Finance 18, no. 5 (December 2011): 903–14. http://dx.doi.org/10.1016/j.jempfin.2011.07.006.

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Kiernan, Kevin F., Vladimir Yankov, and Filip Zikes. "Liquidity Provision and Co-insurance in Bank Syndicates." Finance and Economics Discussion Series 2021, no. 060 (September 24, 2021): 1–59. http://dx.doi.org/10.17016/feds.2021.060.

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We study the capacity of the banking system to provide liquidity to the corporate sector in times of stress and how changes in this capacity affect corporate liquidity management. We show that the contractual arrangements among banks in loan syndicates co-insure liquidity risks of credit line drawdowns and generate a network of interbank exposures. We develop a simple model and simulate the liquidity and insurance capacity of the banking network. We find that the liquidity capacity of large banks has significantly increased following the introduction of liquidity regulation, and that the liquidity co-insurance function in loan syndicates is economically important. We also find that borrowers with higher reliance on credit lines in their liquidity management have become more likely to obtain credit lines from syndicates with higher liquidity. The assortative matching on liquidity characteristics has strengthened the role of banks as liquidity providers to the corporate sector.
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Dissertations / Theses on the topic "Liquidity and credit risks"

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Sidthidet, Taweewan. "Competition and mergers under liquidity and credit risks in the banking industry." Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=104562.

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The objective of this dissertation is to shed light on the decision-making behavior of banks under liquidity and credit risks as well as the impact of market structure (competition and mergers) on such behavior. The analysis of this dissertation differs from the previous studies in that we explicitly analyze the effects of liquidity and credit risks on banks' decisions and profits. The analysis of this dissertation can be separated into two main parts. The first part focuses on the effect of liquidity risk on banks' decisions and profits (Chapters 2 and 3 ) while the second part concentrates on the effects of credit risk and bank regulations (Chapter 4 ).The main objective of Chapter 2 is to investigate how the uncertainty in terms of early withdrawals from depositors (which creates liquidity shortage) affects banks' behavior. We examine a model of horizontal mergers within the banking industry based on an inventory-theoretic approach. In our model, banks compete by offering differentiated loan products and face uncertainty in terms of liquidity shortage. Their goal is to optimally allocate the amount of deposits collected into loans and reserves so as to maximize their expected profits. We analyze how the equilibrium loan rate and reserve holdings of each bank are affected by the risk of early deposit withdrawals. An interesting result is obtained when the liquidity risk is relatively large: the equilibrium reserve holdings can then actually decrease in the risk of early withdrawals. A merger increases the loan rate charged to the customers and profits of all banks. The risk of early withdrawals is also a key factor in determining the profitability of mergers. Lastly, mergers, in general, decrease total reserves, thereby potentially increasing liquidity shortages in the banking system.In Chapter 3 , the analysis still focuses on the impact of liquidity risk. However, the aim of this chapter is to examine the stability of bank mergers by using the definition of stable cartel proposed by d'Aspremont et al. (1983). We find that as long as the number of banks in the market is more than three, a no-merger scenario is never externally stable. Also, we consider the stability of the grand merger where all the banks merge. The result shows that the less differentiated the loans are, the more likely it is that the grand merger is stable. For the impact of the risk of early withdrawals, we show that a high degree of liquidity risk might weaken the stability of a grand merger, i.e., a merger of all banks in the industry, irrespective of the degree of loan differentiation.In Chapter 4, we examine the effects of market structure and bank regulations (capital adequacy requirements and deposit insurance premium schemes) on bank decisions in presence of risk of loan repayment (credit risk). Then, we analyze how mergers affect the equilibrium decisions and profits of banks. It is shown that when a risk-based insurance premium is used, the equilibrium loan rates and probability of bank failures increase but profits decrease in the risk of loan repayment. On the other hand, when flat rate insurance premium is used, banks have incentives to take more risk because their profits increase in the credit risk. Moreover, a higher capital adequacy ratio decreases the probability of bankruptcy due to credit risk. Regarding the effects of merger, our analysis shows that mergers are not necessarily beneficial for merged banks. Indeed, it might result in lower profits and higher risk of bank failures for merged banks compared to their pre-merger scenario. On the other hand, non-merged banks benefit from a merger by earning higher profits and lower risk of bank failures compared to the pre-merger scenario.
L'objectif de cette thèse est d'analyser le comportement des banques assujetties aux risques de manque de liquidités et de crédit lors d'une prise de décision, et de déterminer l'impact de la structure du marché (compétition et fusions) sur ce comportement. L'approche de cette thèse se distingue de celles d'autres études en ce que nous analysons de façon explicite les effets de liquidités et les risque qu'ils comportent pour les décisions et les profits des banques. Cette thèse se divise en deux parties. La première se concentre sur les effets de risques de liquidités sur les décisions et les profits des banques (voir Chapitres 2 et 3), tandis que la deuxième se concentre sur les effets du risque de crédit et de la réglementation des banques.L'objectif principal du Chapitre 2 est de montrer jusqu'à quel point l'incertitude concernant des retraits précipités par les déposants peut influencer le comportement des banques. Nous examinons un modèle composé de fusions horizontales dans le contexte du secteur bancaire basé sur la théorie des inventaires. Les banques se font concurrence en offrant des prix différenciés et font face à un risque de manque de liquidités. Leur but est d'allouer de façon optimale leurs dépôts entre prêts et réserves afin de maximiser leurs profits anticipés. Nous étudions comment le taux d'intérêt des prêts octroyés et les réserves de chaque banque à l'équilibre sont influencés par le risque de retraits de dépôts précipités. On obtient un résultat intéressant lorsque le risque de liquidité est relativement élevé: les réserves peuvent diminuer lorsque le risque de retraits précipités augmente. Lors d'une fusion, le taux d'intérêt payé par les clients et les profits générés par chaque banque augmentent. Le risque de retraits précipités est aussi un facteur clé qui détermine la profitabilité des fusions. Finalement, les fusions ont tendance à diminuer les réserves totales, ce qui pourrait augmenter les manques de liquidités dans le système bancaire.L'analyse dans le chapitre 3 se concentre sur l'impact du risque de liquidité. L'objectif de ce chapitre est d'investiguer la stabilité des fusions bancaires au biais de la définition d'un cartel stable tel que défini par d'Aspremont et al. (1983). Nos résultats montrent qu'à condition d'avoir plus de trois banques, un scénario sans fusion n'est jamais stable car la fusion entre deux banques est toujours profitable. De plus, nous prenons en considération la stabilité d'une grande fusion où chaque banque participe à la fusion. Nos résultats indiquent que moins les prêts sont différenciés, plus il est probable que la grande fusion soit stable. Nous montrons qu'un degré élevé de risque de liquidité diminue la stabilité d'une grande fusion c'est-à-dire une fusion entre toutes les banques.Dans le quatrième chapitre, nous étudions les effets de la structure du marché et des règlementations des banques sur les décisions prises par les banques en présence du risque de crédit. Nous démontrons que lorsqu'une prime d'assurance basée sur le risque est utilisée, les taux d'intérêt à l'équilibre et les probabilités de faillites bancaires augmentent mais que les profits diminuent avec le risque de crédit. Par contre, lorsqu'il y a une prime d'assurance à taux fixe, cela incite les banques à prendre plus de risques étant donné que leurs profits augmentent avec le risque de crédit. Cependant, un ratio d'adéquation de fonds propres plus élevé diminue la probabilité de faillite. Concernant les effets de fusions, notre analyse démontre que celles-ci ne sont pas nécessairement avantageuses pour les banques déjà fusionnées. En effet, elles peuvent engendrer une baisse de profits et accroître le risque de faillite bancaire pour les banques fusionnées comparativement au scénario pré-fusion. D'autre part, les banques non fusionnées bénéficient d'une fusion en voyant leurs profits augmenter et courent un risque de faillite moins élevé en comparaison avec le scénario pré-fusion.
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Toto, Andrea. "Three essays on liquidity and contagion." Doctoral thesis, Universitat Jaume I, 2016. http://hdl.handle.net/10803/386238.

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The present PhD thesis consists of three papers. In the 1st paper we review credit risk models and models of counterparty risk and contagion and their application in credit risk management, and compare the two primary types of models in the literature that attempt to describe default processes for debt obligations and other defaultable financial instruments , usually referred to as structural and reduced-form (or intensity) models. We discuss challenges and possible progresses to be made in closing the distance between structural and reduced-form models in modeling counterparty and credit risk, mainly inside an information based perspective , in the style of Jarrow and Protter (2004). In the 2nd paper we analyses the effects of trade credit on the investment decisions of a financially constrained firms in manufacturing supply chains. We put forward a multi-factor model of a profit maximizing firm subject to bank borrowing constraints and with three sources of funding: self-financing, bank credit and trade credit. The model is able to capture the insurance effect of trade credit, i.e. the insurance coverage against liquidity risk embedded in trade credit contracts, thanks to which a financially-constrained firm suffering a liquidity shortage can maintain a level of expected inventory investment (and, as a consequence, a future expected output level) as close as possible to the optimal desired level. The 3rd paper is a paper that studies the effects that two characteristics of the topology of a financial network , namely its degrees of connectivity and of centralization, have on the response of the network to external shocks that can generate phenomena of default contagion.
La presente tesis doctoral se compone de tres artículos. En el primero artículo se revisan los modelos de riesgo de crédito y los modelos de riesgo de contraparte y contagio y su aplicación en la gestión del riesgo de crédito, y se comparan los dos tipos principales de modelos en la literatura que tratan de describir los procesos predeterminados para las obligaciones de deuda y otros instrumentos financieros que son "defaultable" (que son susceptibles de incumplimiento) ; estos modelos normalmente se conocen como modelos estructurales y de forma (o intensidad) reducida. Además, se discuten los desafíos y posibles progresos a ser alcanzados al reducir la distancia entre los modelos estructurales y de forma reducida en modelar el riesgo de contraparte y riesgo de crédito, sobre todo dentro de una perspectiva basada en la información, al estilo de Jarrow y Protter (2004). En el segundo artículo se analizan los efectos de crédito comercial en las decisiones de inversión de una empresa restringida financieramente en un sector manufacturero, con particular referencia a un contexto de turbulencias financieras y racionamiento del crédito. Con este fin, hemos presentado un modelo multifactorial de una empresa que maximiza el beneficio sujeto a las restricciones de crédito bancarias y con tres fuentes de financiación : la auto-financiación , crédito bancario y crédito comercial. El modelo es capaz de captar el efecto del seguro de crédito comercial, es decir, la cobertura de seguro contra el riesgo de liquidez implícitos en los contratos de crédito comercial , gracias a la cual una empresa financieramente restringida que sufre de una escasez de liquidez puede mantener un nivel de inversión de inventario esperado (y, como en consecuencia , un futuro nivel de producción esperado) lo más cerca posible al nivel óptimo deseado. El tercero artículo es un artículo que estudia los efectos que dos características de la topología de una red financiera, es decir sus grados de conectividad y de centralización, tienen en la respuesta de la red a los choques externos que pueden generar fenómenos de "default contagion".
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Bäurer, Patrick [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "Credit and liquidity risk in Lévy asset price models." Freiburg : Universität, 2015. http://d-nb.info/1115861794/34.

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Papin, Timothée. "Pricing of Corporate Loan : Credit Risk and Liquidity cost." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00937278.

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This PhD thesis investigates the pricing of a corporate loan according to the credit risk, the liquidity cost and the embedded prepayment option. A loan contract issued by a bank for its corporate clients is a financial agreement that often comes with more flexibility than a retail loan contract. These options are designed to meet clients' expectations and can include e.g., a prepayment option (which entitles the client, if he desires so, to pay all or a fraction of its loan earlier than the maturity). The prepayment is the main option and it will be study in this thesis. In order to decide whether the exercise of the option is worthwhile the borrower compares the remaining payments with the outstanding amount of the loan. If the remaining payments exceed the nominal value then it is optimal for the borrower to refinance his debt at a lower rate. For a bank, the prepayment option is essentially a reinvestment risk, i.e. the risk that the borrower decides to repay earlier his/her loan and that the bank cannot reinvest his/her excess of cash in a new loan with same characteristics.The valuation problem of the prepayment option can be modelled as an embedded compound American option on a risky debt owned by the borrower. We choose in this thesis to price a loan and its prepayment option by resolving the associated PDE instead of binomial trees (time-consuming) or Monte Carlo techniques (slow to converge).
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Shi, Jian Wu Chunchi. "Liquidity, taxes and credit risk of fixed income securities." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2004. http://wwwlib.umi.com/cr/syr/main.

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Trapp, Monika. "Credit risk and liquidity in bond and CDS markets." [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:180-madoc-21040.

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Senakosava, Hanna. "Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641.

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Banks represent one of the most important parts of the economy in the world. As a result, decisions of bank management affect not just the direct bank stakeholders but the state of the economy and society as a whole. This became evident during the latest financial crisis in 2007 where the failure of one bank resulted in the domino falling that affected banks globally. The regulators increase their attention to the risks that bank face and their measures and requirements. Therefore, the research within the banking area has important consequences from both theoretical and practical side.   The purpose of this project is to investigate whether there is a relationship between dividends that Nordic banks pay and different types of risks such as market, credit (including default), liquidity and operational. The results of the research will contribute to the knowledge in finance and help different stakeholders to understand possible reasons for different dividends level.   The methodological position works as a foundation for the conduction of the research. The epistemological and ontological views applied in this project are positivism and objectivism. The deductive research approach and quantitative research strategy are used for the research and thus the collection and analysis of the archival data of 19 Nordic banks over five year time horizon. The research can therefore be described as a panel study.   Based on the previous research papers the following proxies for risks have been used in the research: market risk – capital requirement for market risk to total assets, credit risk – loan loss provisions to total assets, default risk – Altman Z-score, liquidity risk –liquidity coverage ratio, operational risk – economic capital (capital requirement) for operational risk to total asset.   Ordinary Least Square regression analysis is performed over the collected data in order to fulfil the purpose of the project. The tests results identify that there are no statistically significant relationship between dividends and market, credit, default and liquidity risks and the statistically significant negative relationship between the dividends and operational risk in Nordic banks. These findings contribute to a new knowledge within the finance and banking area in particular. Additionally, this project might be used as a foundation for the further research within the field. The findings are also useful for stakeholders in understanding banks risk level.
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Ilerisoy, Mahmut. "Essays on liquidity risk, credit market contagion, and corporate cash holdings." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1855.

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This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter is coauthored work with Professor Jay Sa-Aadu and Associate Professor Ashish Tiwari and is titled ‘Market Liquidity, Funding Liquidity, and Hedge Fund Performance.’ The second chapter is sole-authored and is titled ‘Credit Market Contagion and Liquidity Shocks.’ The third chapter is coauthored with Steven Savoy and titled ‘Ambiguity Aversion and Corporate Cash Holdings.’ The first chapter examines the interaction between hedge funds’ performance and their market liquidity risk and funding liquidity risk. Using a 2-state Markov regime switching model we identify regimes with low and high market-wide liquidity. While funds with high market liquidity risk exposures earn a premium in the high liquidity regime, this premium vanishes in the low liquidity states. Moreover, funding liquidity risk, measured by the sensitivity of a hedge fund’s return to the Treasury-Eurodollar (TED) spread, is an important determinant of fund performance. Hedge funds with high loadings on the TED spread underperform low-loading funds by about 0.49% (10.98%) annually in the high (low) liquidity regime, during 1994-2012. The second chapter provides evidence on credit market contagion using CDS index data and identifies the channels through which contagion propagates in credit markets. The results show that funding liquidity and market liquidity are significant channels of contagion during periods with widening credit spreads and adverse liquidity shocks. These results provide support for the theoretical model proposed by Brunnermeier and Pedersen (2009) according to which negative liquidity spirals can lead to contagion across various asset classes. Furthermore, during periods with tightening credit spreads and positive liquidity shocks, the results indicate that a prime broker index and a bank index are important channels contributing to co-movement in credit spreads. This suggests that financial intermediaries play an important role in spreading market rallies across credit markets. The third chapter investigates the link between investors’ ambiguity aversion and precautionary corporate cash holdings. Investors’ ambiguity aversion is measured by the proportion of individual investors in a firm’s investor base who are hypothesized to be more ambiguity averse compared to institutional investors. We show that the value of cash holdings is negatively associated with the extent of ambiguity aversion in a firm’s shareholder base for firms that are financially constrained. Our results also show that financially constrained firms with a higher proportion of ambiguity averse investors hold less cash. These results provide support for models in which ambiguity averse investors dislike the cash holdings of firms, that are held for precautionary reasons to fund long term projects, given that the returns on long term projects are ambiguous.
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Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.

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This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press.  Real Economic Shocks and Sovereign Credit Risk. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varying risk premia as a compensation for exposure to common U.S. business cycle risk. The Term Structure of CDS Spreads and Sovereign Credit Risk. The term structure of CDS spreads is an informative signal about the relative importance of global and country-specific risk factors for the time variation of sovereign credit spreads. An empirically validated model illustrates how local risk matters relatively more when the slope is negative, while systematic risk bears more responsibility when the slope is positive. Squeezed Everywhere - Disentangling Types of Liquidity and Testing Limits-to-Arbitrage. The CDS-Bond basis is used as a laboratory to disentangle different types of liquidity and to test limits-of-arbitrage. While asset-specific liquidity is cross-correlated in both the cash and derivative market, funding and market liquidity matter only for the former. The tests find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.

Diss. Stockholm : Handelshögskolan, 2013. Sammanfattning jämte 4 uppsatser

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Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

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Books on the topic "Liquidity and credit risks"

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1966-, Brigo Damiano, and Patras Frédéric, eds. Credit risk frontiers: Subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity. Hoboken, NJ: Wiley, 2011.

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Pagès, Henri. Can liquidity risk be subsumed in credit risk?: A case study from Brady bond prices. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 2001.

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Longstaff, Francis A. Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default swap market. Cambridge, MA: National Bureau of Economic Research, 2004.

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Bernard, Henri. Information, liquidity and risk in the international interbank market: Implicit guarantees and private credit market failure. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 2000.

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Dynkin, Lev. Quantitative credit portfolio management: Practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk. Hoboken, NJ: Wiley, 2011.

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Papaioannou, Michael G. A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager. [Washington, D.C.]: International Monetary Fund, Monetary and Capital Markets, 2006.

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Banks, Erik. Liquidity Risk: Managing Asset and Funding Risks. Basingstoke: Palgrave Macmillan, 2004.

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Liabilities, liquidity, and cash management: Balancing financial risks. New York: Wiley, 2002.

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Caballero, Ricardo J. International liquidity illusion: On the risks of sterilization. Cambridge, MA: Massachusetts Institute of Technology, Dept. of Economics, 2001.

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Caballero, Ricardo J. International liquidity illusion: On the risks of sterilization. Cambridge, MA: National Bureau of Economic Research, 2001.

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Book chapters on the topic "Liquidity and credit risks"

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Lessambo, Felix. "Corporate Governance, Risk Metrics, Liquidity, and Credit Risks." In The International Banking System, 222–45. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1007/978-1-137-27513-4_20.

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van der Merwe, Andria. "Stories of Liquidity and Credit." In Market Liquidity Risk, 115–42. New York: Palgrave Macmillan US, 2015. http://dx.doi.org/10.1057/9781137389237_5.

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Michoud, Bruno, and Manfred Hafner. "Risk Mitigation Instruments Targeting Specific Investment Risks." In Financing Clean Energy Access in Sub-Saharan Africa, 119–26. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-75829-5_7.

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AbstractThis chapter focuses on instruments aimed at mitigating specific investment risks, including political, credit, currency and liquidity risks. It explores solutions emanating from both the public and private sectors.
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Brigo, Damiano, Mirela Predescu, and Agostino Capponi. "Liquidity Modeling for Credit Default Swaps: An Overview." In Credit Risk Frontiers, 585–617. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531839.ch19.

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Billio, Monica, Massimiliano Caporin, Loriana Pelizzon, and Domenico Sartore. "CDS Industrial Sector Indices, Credit and Liquidity Risk." In Credit Securitizations and Derivatives, 307–23. Chichester, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118818503.ch15.

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Stander, Yolanda S. "Estimating Credit, Liquidity, and Country Risk Premiums." In Yield Curve Modeling, 133–55. London: Palgrave Macmillan UK, 2005. http://dx.doi.org/10.1057/9780230513747_7.

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Leone, Paola, Massimo Proietti, Pasqualina Porretta, and Gianfranco A. Vento. "OTC Derivatives and Counterparty Credit Risk Mitigation: The OIS Discounting Framework." In Liquidity Risk, Efficiency and New Bank Business Models, 57–91. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30819-7_4.

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Vento, Gianfranco, Andrea Pezzotta, and Stefano Di Colli. "Liquidity Mismatch, Bank Borrowing Decision and Distress: Empirical Evidence from Italian Credit Co-Operative Banks." In Liquidity Risk, Efficiency and New Bank Business Models, 273–99. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30819-7_10.

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Bindseil, Ulrich, and Alessio Fotia. "Conventional Monetary Policy." In Introduction to Central Banking, 29–51. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70884-9_3.

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AbstractThis chapter introduces conventional monetary policy, i.e. monetary policy during periods of economic and financial stability and when short-term interest rates are not constrained by the zero lower bound. We introduce the concept of an operational target of monetary policy and explain why central banks normally give this role to the short-term interbank rate. We briefly touch macroeconomics by outlining how central banks should set interest rates across time to achieve their ultimate target, e.g. price stability, and we acknowledge the complications in doing so. We then zoom further into monetary policy operations and central bank balance sheets by developing the concepts of autonomous factor, monetary policy instruments, and liquidity-absorbing and liquidity providing balance sheet items. Subsequently we explain how these quantities relate to short-term interest rates, and how the central bank can rely on this relation to steer its operational target, and thereby the starting point of monetary policy transmission. Finally, we explain the importance of the collateral framework and related risk control measures (e.g. haircuts) for the liquidity of banks and for the conduct of central bank credit operations.
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Solozhentsev, E. D. "Credit Risks Management Technology." In Risk Management Technologies, 153–63. Dordrecht: Springer Netherlands, 2012. http://dx.doi.org/10.1007/978-94-007-4288-8_13.

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Conference papers on the topic "Liquidity and credit risks"

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Felfoeldi-Szuecs, Nora, Peter Juhasz, Gabor Kuerthy, Janos Szaz, and Agnes Vidovics-Dancs. "Modelling Economic Crises In Hua He Framework." In 35th ECMS International Conference on Modelling and Simulation. ECMS, 2021. http://dx.doi.org/10.7148/2021-0095.

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In our paper we model firms’ liquidity using the Hua He methodology. We investigate how cooperation of firms improve the possibilites of liquidity management. During a crisis, various effects identified in the literature hurt firms’ liquidity position and lead to increased bankruptcy risk. We may counterbalance these adverse effects by providing immediate cash transfers and granting periodic cash flow transfers or additional credit lines. Cooperating with peers pays off. The importance of liquidity transfer between agents is higher during a crisis than in normal economic environment. It contributes to a lower default rate the losses are more moderate as well. Several consequences can be drawn for policy makers how ameliorate resilience of agents.
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Feschiyan, Daniela. "THE EFFECT OF CREDIT RISK TAKING AND BANK LIQUIDITY CREATION UNDER CAPITAL REGULATION." In 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM2017. Stef92 Technology, 2017. http://dx.doi.org/10.5593/sgemsocial2017/13/s03.073.

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Ekadjaja, Margarita, Halim Putera Siswanto, Agustin Ekadjaja, and Rorlen Rorlen. "The Effects of Capital Adequacy, Credit Risk, and Liquidity Risk on Banks’ Financial Distress in Indonesia." In Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210507.059.

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Ramdhonah, Zahra, Rini Kurniawati, and Amir Machmud. "The Impact of Liquidity Risk and Credit Risk on the Profitability of General Sharia Banks in Indonesia." In 2nd International Conference on Economic Education and Entrepreneurship. SCITEPRESS - Science and Technology Publications, 2017. http://dx.doi.org/10.5220/0006893707990804.

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Bintoro, Muchamad Imam, and Ferry Rahmadhani. "The Influence of Capital Adequacy, Credit Risk, Liquidity, Operational Cost, Income Diversification, Firm Size and Ownership Structure on the Profitability of Bank." In 4th International Conference on Sustainable Innovation 2020-Accounting and Management (ICoSIAMS 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aer.k.210121.018.

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Ceran, Yunus, Muhammet Bezirci, Mustafa Ay, and Merve Öztürk. "Factoring and Stock Financing in Trade Finance." In International Conference on Eurasian Economies. Eurasian Economists Association, 2018. http://dx.doi.org/10.36880/c10.02203.

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Factoring is a nonbank financial institution which meets the financing needs of the enterprises and minimizes the non-payment risk and stock financing which is based on the bank loans are two alternative financing techniques that enables collateral and collection and financing to SME’s, suppliers and commercial enterprises. These two methods are important in terms of the advantages they provide to vendors and suppliers. Reducing the non-payment risk, securing liquidity to business, minimizing the risk level of sales by making them safer and increasing competition power on the market are among the advantages. Stock financing is another method which is much more recent than factoring became a current issue in 2000’s and developed to minimize non-payment risk and provide cash flow on the basis of bank loan. In Turkey, this method is only applicable to automotive industry for now. This method emerges as an advantageous method for businesses experiencing difficulties in financing, inability to collect their receivables, and the inability to deplete their inventories. With the stock financing method, car dealers have affordable and easy credit facilities in order to make payments to the main supplier in exchange for their existing inventories. The aim of this study is to compare factoring and stock financing method and revealing the advantageous and disadvantageous points of two alternative methods.
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Aseinov, Dastan. "Factors Affecting Cost Efficiency in the Banking Sector of Kyrgyzstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01907.

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Instabilities in the banking sector have had an adverse effect on the economy as a whole, since the largest share in the financial system and financial intermediation in Kyrgyzstan have been captured by banking sector. Economic efficiency in banking can be viewed as a source of financial stability of banking system. Economic efficiency of the banking is more important challenge not only for shareholders and managers of banks, and also for regulation and supervision authorities, and public and potential investors. The aim of this study is to examine factors affecting the banking cost efficiency for Kyrgyz banks. It is also important to choose the appropriate approach in measurement of banking cost efficiency, since there are many different methods. In this study preferred stochastic frontier approach which assumes random error term which captures sampling, measurement and specification errors. We adopted stochastic cost frontier model proposed by Battese ve Coelli (1995) which also allow to examine investigate the impact of variables on efficiency. We used unbalanced panel data set captured 17-23 Kyrgyz commercial banks for period of 2000-2013. Obtained results suggest that capitalization, foreign ownership, credit risk, liquidity risk and currency risk have most influence on cost efficiency scores of banks calculated averagely at level of 0,766. Overall results indicate that domestic banks more cost efficient than domestic private and foreign banks. Average cost efficiency scores of domestic banks, foreign and separately public banks are 0,848; 0,649 and 0,875, respectively.
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Dandekar, Pranav, Ashish Goel, Ramesh Govindan, and Ian Post. "Liquidity in credit networks." In the 2010 Workshop. New York, New York, USA: ACM Press, 2010. http://dx.doi.org/10.1145/1879082.1879084.

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Dandekar, Pranav, Ashish Goel, Ramesh Govindan, and Ian Post. "Liquidity in credit networks." In the 12th ACM conference. New York, New York, USA: ACM Press, 2011. http://dx.doi.org/10.1145/1993574.1993597.

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Duan, Kun, Tapas Mishra, and Simon Wolfe. "Disaggregated Credit, Liquidity and Housing Price Dynamics." In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2018. http://dx.doi.org/10.15396/eres2018_17.

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Reports on the topic "Liquidity and credit risks"

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Longstaff, Francis, Sanjay Mithal, and Eric Neis. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market. Cambridge, MA: National Bureau of Economic Research, April 2004. http://dx.doi.org/10.3386/w10418.

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Hachem, Kinda Cheryl, and Zheng Michael Song. Liquidity Rules and Credit Booms. Cambridge, MA: National Bureau of Economic Research, January 2016. http://dx.doi.org/10.3386/w21880.

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Agarwal, Sumit, Paige Skiba, and Jeremy Tobacman. Payday Loans and Credit Cards: New Liquidity and Credit Scoring Puzzles? Cambridge, MA: National Bureau of Economic Research, January 2009. http://dx.doi.org/10.3386/w14659.

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Levine, Ross, Chen Lin, Zigan Wang, and Wensi Xie. Bank Liquidity, Credit Supply, and the Environment. Cambridge, MA: National Bureau of Economic Research, March 2018. http://dx.doi.org/10.3386/w24375.

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Caballero, Ricardo, and Arvind Krishnamurthy. International Liquidity Illusion: On the Risks of Sterilization. Cambridge, MA: National Bureau of Economic Research, February 2001. http://dx.doi.org/10.3386/w8141.

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Guerrieri, Veronica, and Guido Lorenzoni. Credit Crises, Precautionary Savings, and the Liquidity Trap. Cambridge, MA: National Bureau of Economic Research, November 2011. http://dx.doi.org/10.3386/w17583.

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Brunnermeier, Markus. Deciphering the Liquidity and Credit Crunch 2007-08. Cambridge, MA: National Bureau of Economic Research, December 2008. http://dx.doi.org/10.3386/w14612.

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León-Rincón, Carlos Eduardo, and Miguel Sarmiento. Liquidity and counterparty risks tradeoff in money market networks. Bogotá, Colombia: Banco de la República, April 2016. http://dx.doi.org/10.32468/be.936.

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Acharya, Viral, Heitor Almeida, Filippo Ippolito, and Ander Perez. Credit Lines as Monitored Liquidity Insurance: Theory and Evidence. Cambridge, MA: National Bureau of Economic Research, March 2013. http://dx.doi.org/10.3386/w18892.

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Arana, Rumile, Francisco A. Ramirez, and Allan Wright. Credit Risks and Monetary Policy within Caribbean Economies. Inter-American Development Bank, May 2017. http://dx.doi.org/10.18235/0000701.

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