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Original Articles

Optimal liquidity reserve with funding liquidity risk

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Pages 1449-1452 | Published online: 20 Aug 2013

References

  • Brunnermeier , M. K. and Pedersen , L. H . 2009 . Market liquidity and funding liquidity . Review of Financial Studies , 22 : 2201 – 38 .
  • Hull, J. C. (2009) Risk Management and Financial Institutions, 2nd edn, Prentice Hall, Upper Saddle River, NJ.
  • International Monetary Fund (2007) Global Financial Stability Report, October, IMF, Washington, DC.
  • Mathias, D. and Kleopatra, N. (2009) Funding liquidity risk, definition and measurement, European Central Bank Working Paper No. 1024, European Central Bank, Frankfurt am Main.
  • Ringbom , S. , Shy , O. and Stenbacka , R . 2004 . Optimal liquidity management and bail-out policy in the banking industry . Journal of Banking and Finance , 28 : 1319 – 35 .
  • Shreve , S. E . 2004 . Stochastic Calculus for Finance II: Continuous-Time Models , New York : Springer .
  • Xavier, F. and Rochet, J. C. (2008) Microeconomics of Banking, 2nd edn, The MIT Press, Cambridge, MA.

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