Liquidity Conference

Conference on Liquidity: Pricing and Risk Management

Date: 23-24 June 2008
Venue: Bank of England, Threadneedle Street, London EC2R 8AH, UK

Organiser: William Perraudin

Download the programme (PDF)

Papers

Interbank Market Liquidity and Central Bank Intervention Franklin Allen (Wharton School, University of Pennsylvania), Elena Carletti (Center for Financial Studies, University of Frankfurt) and Douglas Gale (New York University)

Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking Viral V. Acharya (London Business School and CEPR), Denis Gromb (London Business School, London School of Economics and CEPR) and Tanju Yorulmazer (Federal Reserve Bank of New York)

Leverage and Liquidity Dry-ups: A Framework and Policy Implications Denis Gromb (London Business School) and Dimitri Vayanos (London School of Economics)

Deciphering the 2007/8 Liquidity and Credit Crunch Markus K. Brunnermeier (Princeton University)

Determinants of Asset Backed Security Prices in Crisis Periods William Perraudin (Imperial College) and Shi Wu (Imperial College)

Price Dispersion in OTC Markets: A New Measure of Liquidity Rainer Jankowitsch (Stern School of Business, New York University and Vienna University of Economics and Business), Amrut Nashikkar (Stern School of Business, New York University) Marti G. Subrahmanyam (Stern School of Business, New York University)

Liquidity and Liquidity Risk Premia in the CDS Market Dion Bongaerts (University of Amsterdam), Frank de Jong (CentER, Tilburg University) and Joost Driessen (University of Amsterdam)

Copies of the presentations made at the conference