A Multiperiod Bank Run Model for Liquidity Risk

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...

Bibliografski detalji
Glavni autori:	Liang, G, Luetkebohmert, E, Xiao, Y
Format:	Journal article
Jezik:	English
Izdano:	Oxford University Press 2014

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