Abstract of Amsterdam paper


"A reappraisal of market liquidity risk in the light of the Russia/LTCM global securities market crisis" Paper presented to the workshop on "Empirical research on bank supervision and structure" organised by the Basle Committee on Banking Supervision, Amsterdam, June 1-2 1999.

[abstract] [paper in PDF format]

A shorter version of this paper was published as Davis E P (1999), "Russia/LTCM and market liquidity risk", The Financial Regulator, 4/2, Summer 1999, 23-2