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The effects of capital requirements on good and bad risk-taking

Pancost, N. Aaron; Robatto, Roberto - 2019

We study optimal capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. Firms hold deposits for precautionary reasons and to facilitate the acquisition of production inputs. Our theoretical analysis identifies a novel...

Persistent link: https://www.econbiz.de/10012132611

Life-cycle risk-taking with personal disaster risk

Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021

or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment … characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the …

Persistent link: https://www.econbiz.de/10012793436

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Persistent link: https://www.econbiz.de/10012622826

Simulating fire-sales in a banking and shadow banking system

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017

We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

Persistent link: https://www.econbiz.de/10011976961

Macro-based asset allocation : an empirical analysis

Kollar, Miroslav; Schmieder, Christian - 2020

Macro-based asset allocation, i.e., the identification of turning points in macro-financial cycles and the allocation of assets accordingly, has attracted a lot of interest in recent years. This interest was sparked by volatile financial markets, more synchronized returns across asset classes...

Persistent link: https://www.econbiz.de/10012152009

On the cross-sectional distribution of portfolios' returns

Calès, Ludovic; Chalkis, Apostolos; Emiris, Ioannis Z. - 2019

The aim of this paper is to study the distribution of portfolio returns across portfolios and for given asset returns. We focus on the most common type of investment considering portfolios whose weights are non-negative and sum up to 1. We provide algorithms and formulas from computational...

Persistent link: https://www.econbiz.de/10012053217

Cyclical investment behavior across financial institutions

Timmer, Yannick - 2016

This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...

Persistent link: https://www.econbiz.de/10011975050

ESBies : safety in the tranches

Brunnermeier, Markus Konrad; Langfield, Sam; Pagano, Marco - 2016 - This draft: September, 2016

The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight …

Persistent link: https://www.econbiz.de/10011975194

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk … with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching …

Persistent link: https://www.econbiz.de/10011975264

Liquidity transformation in asset management : evidence from the cash holdings of mutual funds

Chernenko, Sergey; Sunderam, Adi - 2016

We study liquidity transformation in mutual funds using a novel data set on their cash holdings To provide investors with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically, they hold substantial amounts of cash, which they use...

Persistent link: https://www.econbiz.de/10011975267