...Bill Hu Purpose The purpose of this paper is to explore what happens to market liquidity (ML) during market crashes when funding liquidity (FL) is frozen. Design/methodology/approach The authors employ an event study methodology in a multivariate regression framework to examine the dynamics...

... Market liquidity Central counterparty EMIR regulation Stress measurement G18 G28 G32 The financial crisis that started in 2007 had two lessons for risk management: first, that a risk management system calibrated from the data of a quiet period is totally useless in a crisis and, second...