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The Lender of Last Resort : Liquidity Provision Versus the Possibility of Bail-out
Eijffinger, S.C.W. / Nijskens, R.G.M.
banking / financial stabilityResource overview

The Lender of Last Resort : Liquidity Provision Versus the Possibility of Bail-out

Paper2010

by Eijffinger, S.C.W., Nijskens, R.G.M.

Tags
bankingfinancial stabilityliquidity

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Suggested foundations for market microstructure and execution and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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