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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… Expand
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Papers overview

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Highly Cited
2015
Highly Cited
2015
We develop a model of interbank lending and borrowing with counterparty risk. The model has two key ingredients. First, liquidity… Expand
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Highly Cited
2012
Highly Cited
2012
I identify a global currency skewness risk factor. Currency portfolios that have higher average excess returns co-vary more… Expand
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Highly Cited
2008
Highly Cited
2008
This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The… Expand
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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… Expand
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Highly Cited
2007
Highly Cited
2007
Standard literature concludes that transaction costs only have a "second-order" effect on liquidity premia. We show that this… Expand
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Highly Cited
2006
Highly Cited
2006
We develop a simple model of the effect of public transaction reporting on trade execution costs and test it using a sample of… Expand
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Highly Cited
2004
Highly Cited
2004
Abstract LRP (low-density lipoprotein receptor-related protein) is linked to Alzheimer's disease (AD). Here, we report amyloid… Expand
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Highly Cited
2002
Highly Cited
2002
We show in this paper that bank failures can be contagious. Unlike earlier work where contagion stems from depositor panics or ex… Expand
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Highly Cited
2000
Highly Cited
2000
This paper examines a dynamic model of mutual insurance when households can also engage in self-insurance by storage. This mutual… Expand
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Highly Cited
1998
Highly Cited
1998
Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the… Expand
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