Liquidity at risk

Known as: LaR 
The Liquidity-at-Risk (short: LaR) is a quantity to measure financial risks and is the maximum net liquidity drain relative to the expected liquidity… (More)
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Papers overview

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2015
2015
Using a broad data set of 20 US dollar exchange rates and order ‡ow of institutional investors over 14 years, we construct a… (More)
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Highly Cited
2009
Highly Cited
2009
We study the functioning and possible breakdown of the interbank market due to asymmetric information about counterparty risk. We… (More)
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2009
2009
We model the interplay between corporate liquidity and asset reallocation opportunities. Our model implies that financially… (More)
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2007
2007
Standard literature concludes that transaction costs only have a second-order effect on liquidity premia. We show that this… (More)
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Highly Cited
2007
Highly Cited
2007
The fundamental component for the success of VANET (vehicular ad hoc networks) applications is routing since it must efficiently… (More)
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2007
2007
  • Lev Ratnovski
  • 2007
Liquidity risk is associated with solvency uncertainty at the re…nancing stage. To insure, banks can accumulate liquid assets, or… (More)
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Highly Cited
2005
Highly Cited
2005
We develop a simple model of the effect of transaction reporting on trade execution costs and test it using a sample of… (More)
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Highly Cited
2002
Highly Cited
2002
Banks are known to fail either because they are intrinsically insolvent or because an aggregate shortage of liquidity renders… (More)
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1999
1999
CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research… (More)
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Highly Cited
1998
Highly Cited
1998
We use limit order data provided by the New York Stock Exchange (NYSE) to investigate the impact of reducing the minimum tick… (More)
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