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Insurers’ Investment Strategies : Pro- or Countercyclical?

Rousová, Linda; Giuzio, Margherita - 2021

Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views....

Persistent link: https://www.econbiz.de/10013315359

Commonality in hedge fund returns: driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10011605703

Is the EU money market fund regulation fit for purpose? Lessons from the COVID-19 turmoil

Capotæa, Laura-Dona; Grill, Michael; Molestina Vivar, Luis - 2022

of EU MMFs at a daily frequency. First, we find that investment in private debt assets exposes MMFs to liquidity risk … incentivised outflows among some LVNAV investors in March 2020. Third, MMFs with lower levels of liquidity buffers use their …

Persistent link: https://www.econbiz.de/10014278421

Are fund managers rewarded for taking cyclical risks?

Ryan, Ellen - 2022

The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the...

Persistent link: https://www.econbiz.de/10013272143

Is the EU Money Market Fund Regulation Fit for Purpose? Lessons from the COVID-19 Turmoil

Capotă, Laura-Dona; Grill, Michael; Molestina Vivar, Luis - 2022

Persistent link: https://www.econbiz.de/10014236736

Are Fund Managers Rewarded for Taking Cyclical Risks?

Ryan, Ellen - 2022

Persistent link: https://www.econbiz.de/10013298369

Rollover Risk, Liquidity, and Macro-Prudential Regulation

Ahnert, Toni - 2014

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …

Persistent link: https://www.econbiz.de/10013056186

Loss sharing in central clearinghouses: Winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...

Persistent link: https://www.econbiz.de/10014543682

Markets, banks, and shadow banks

Martinez-Miera, David; Repullo, Rafael - 2019

We analyze the effect of bank capital requirements on the structure and risk of a financial system where markets, regulated banks, and shadow banks coexist. Banks face a moral hazard problem in screening entrepreneurs' projects, and they choose whether to be regulated or not. If regulated, a...

Persistent link: https://www.econbiz.de/10012142078

Investment funds under stress

Gourdel, Régis; Maqui, Eduardo; Sydow, Matthias - 2019

This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed...

Persistent link: https://www.econbiz.de/10012142167