A guide to the validation and risk management of quantitative models used for pricing and
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …

We start by describing the major changes that occurred in the quotes of market rates after
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies …

This paper uses a sample of 532 microfinance institutions (MFIs) in 73 countries to
investigate the effect of liquidity risk on the financial performance of MFIs and also enquires …

Liquidity is easily perceived but not easily measured in financial markets. Researchers and
practitioners develop and test new measures of liquidity which may be good candidates for …

The role of liquidity in determining asset prices is the subject of a vast research literature
spanning a period of more than thirty years. The primary purpose of this report is to provide a …

If a financial unit (a bank, an insurance company, a portfolio, the financial system of a
country, etc.) consists of subunits (divisions, subportfolios, etc.), then the risk of the main unit …

The relationship between macroeconomic factors and stock market liquidity is known but not
the same can be said of macroeconomic factors and VC market liquidity. This study …

We consider market players with tail-risk-seeking behaviour modelled by S-shaped utility, as
introduced by Kahneman and Tversky. We argue that risk measures such as value at risk …

We present a quantitative study of the markets and models evolution across the credit
crunch crisis. In particular, we focus on the fixed income market and we analyze the most …

We develop a framework for price-mediated contagion in financial systems where banks are
forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In …