TY  - UNPD
A1  - Castiglionesi, Fabio
A1  - Feriozzi, Fabio
A1  - Lóránth, Gyöngyi
A1  - Pelizzon, Loriana
T1  - Liquidity coinsurance and bank capital
T2  - SAFE working paper series ; No. 45
N2  - Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We use a simple model to show that undiversifiable liquidity risk, i.e. the liquidity risk that banks are unable to coinsure on interbank markets, represents an important risk factor affecting their capital structures. Banks facing higher undiversifiable liquidity risk hold more capital. We posit that empirically banks that are more exposed to undiversifiable liquidity risk are less active on interbank markets. Therefore, we test for the existence of a negative relationship between bank capital and interbank market activity and find support in a large sample of U.S. commercial banks.
T3  - SAFE working paper - 45 
KW  - Bank Capital
KW  - Interbank Markets
KW  - Liquidity Coinsurance
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33826
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-338264
UR  - http://ssrn.com/abstract=2407517
PB  - SAFE
CY  - Frankfurt am Main
ER  -