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...
| Váldodahkkit: | , , |
|---|---|
| Materiálatiipa: | Journal article |
| Giella: | English |
| Almmustuhtton: |
Oxford University Press
2014
|