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The Impact of Derivatives Collateralisation on Liquidity Risk : Evidence from the Investment Fund Sector

Jukonis, Audrius; Letizia, Elisa; Rousová, Linda - 2022

to meet funds’ liquidity needs to cover variation margin calls on derivatives under a range of stress scenarios. The … liquidity buﬀers to meet the calls. As a result, they are likely to redeem MMF shares, procyclically sell assets and draw on … further work to assess the potential role of macroprudential policies for non-banks, particularly regarding liquidity risk in …

Persistent link: https://www.econbiz.de/10014237692

Repo markets, counterparty risk and the 2007/2008 liquidity crisis

Ewerhart, Christian; Tapking, Jens - 2008

A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided...

Persistent link: https://www.econbiz.de/10011604955

Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …

Persistent link: https://www.econbiz.de/10011605172

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015199518

Evaluating market risk from leveraged derivative exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10014278525

The time dimension of the links between loss given default and the macroeconomy

Konečný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017

Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over...

Persistent link: https://www.econbiz.de/10011667201

Variation margins, fire sales, and information-constrained optimality

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018

Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...

Persistent link: https://www.econbiz.de/10012142035

The functional form of yield curves

Brousseau, Vincent - 2002

Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...

Persistent link: https://www.econbiz.de/10011604194

Time variation in the tail behaviour of bunds futures returns

Upper, Christian; Werner, Thomas - 2002

The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...

Persistent link: https://www.econbiz.de/10011604245