VOLATILITY MEASURES, LIQUIDITY AND CREDIT LOSS PROVISIONS DURING PERIODS OF FINANCIAL DISTRESS
In this paper, we investigate the role of liquidity in banks lending activity and how liquidity provision is related to bank’s credit risk and others market-based risk measures, such as bank’s implied volatility skew from options traded on the market and realized volatility from futures contract on...
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| Format: | Article |
| Language: | English |
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World Scientific Publishing
2018-12-01
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| Series: | Journal of Financial Management, Markets and Institutions |
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| Online Access: | http://www.worldscientific.com/doi/epdf/10.1142/S2282717X18500068 |