A Multiperiod Bank Run Model for Liquidity Risk
We present a new dynamic bank run model for liquidity risk where a financial institution finances its risky assets by a mixture of short- and long-term debt. The financial institution is exposed to insolvency risk at any time until maturity and to illiquidity risk at a finite number of rollover date...
| Prif Awduron: | , , |
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| Fformat: | Journal article |
| Iaith: | English |
| Cyhoeddwyd: |
Oxford University Press
2014
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