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~institution:"Federal Reserve Bank of New York"
~isPartOf:"Staff Reports / Federal Reserve Bank of New York"
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Risk management
Financial risk management
11
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Vickery, James
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1
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1
The capital structure and governance of a mortgage securitization utility
Mosser, Patricia C.
;
Tracy, Joseph
;
Wright, Joshua
-
Federal Reserve Bank of New York
-
2013
We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or “tail” risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of...
Persistent link: https://www.econbiz.de/10011027203
Saved in:
2
Rollover risk as market discipline: a two-sided inefficiency
Eisenbach, Thomas M.
-
Federal Reserve Bank of New York
-
2013
Why does the market discipline that banks face seem too weak during good times and too strong during bad times? This paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk. However, if banks' assets are correlated, a two-sided...
Persistent link: https://www.econbiz.de/10010628481
Saved in:
3
Securitization and the fixed-rate mortgage
Fuster, Andreas
;
Vickery, James
-
Federal Reserve Bank of New York
-
2013
management
, monetary policy, and systemic risk. In this paper, we show that securitization is a key driver of FRM supply. Our …
Persistent link: https://www.econbiz.de/10010604287
Saved in:
4
Up close it feels dangerous: 'anxiety' in the face of risk
Eisenbach, Thomas M.
;
Schmalz, Martin C.
-
Federal Reserve Bank of New York
-
2013
Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent--one who is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features of 1) individual behavior, 2) equilibrium prices, and 3)...
Persistent link: https://www.econbiz.de/10010640517
Saved in:
5
A model of liquidity hoarding and term premia in inter-bank markets
Acharya, Viral V.
;
Skeie, David
-
Federal Reserve Bank of New York
-
2011
Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in the one-month and three-month Libor. We explain such stress by modeling leveraged banks’ precautionary demand for liquidity. Asset shocks impair a bank’s ability to roll...
Persistent link: https://www.econbiz.de/10009141724
Saved in:
6
Barriers to household risk
management
: evidence from India
Cole, Shawn
;
Giné, Xavier
;
Tobacman, Jeremy
;
Topalova, …
-
Federal Reserve Bank of New York
-
2009
monsoon season. We first document relatively low adoption of this new risk
management
product: Only 5-10 percent of households … preliminary lessons for improving the design of household risk
management
contracts. …
Persistent link: https://www.econbiz.de/10005004154
Saved in:
7
CoVaR
Adrian, Tobias
;
Brunnermeier, Markus K.
-
Federal Reserve Bank of New York
-
2008
institutions should report CoVaR in addition to VaR, and we draw implications for risk
management
, regulation, and systemic risk …
Persistent link: https://www.econbiz.de/10005420551
Saved in:
8
How and why do small firms manage interest rate risk? Evidence from commercial loans
Vickery, James
-
Federal Reserve Bank of New York
-
2005
Although small firms are most sensitive to interest rate and other shocks, empirical work on corporate risk
management
… financial contracting helps small U.S. firms ameliorate interest rate risk, and discuss the implications for risk
management
…
Persistent link: https://www.econbiz.de/10005526291
Saved in:
9
A general approach to integrated risk
management
with skewed, fat-tailed risks
Rosenberg, Joshua V.
;
Schuermann, Til
-
Federal Reserve Bank of New York
-
2004
The goal of integrated risk
management
in a financial institution is to measure and manage risk and capital across a …
Persistent link: https://www.econbiz.de/10005420607
Saved in:
10
Bond market discipline of banks: is the market tough enough?
Morgan, Donald P.
;
Stiroh, Kevin J.
-
Federal Reserve Bank of New York
-
1999
As the banking business grows more complex, government supervisors of banks seem increasingly willing to share the role of policing bank risk with private investors, especially bondholders. This paper investigates the disciplinary role of markets using bond spreads, ratings, and bank portfolio...
Persistent link: https://www.econbiz.de/10005420621
Saved in:
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