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Securities lending
Lipson, Paul C.; Sabel, Bradley K.; Keane, Frank M. - Federal Reserve Bank of New York - 2012
.S. securities markets, examines loans of Treasury and agency securities in the domestic market. It highlights some important … institutional characteristics of securities loan transactions, in particular the common use of agents to arrange the terms of the … loans. While we note that this characteristic sets securities lending apart from most repurchase agreement (repo …
Persistent link: https://www.econbiz.de/10011027200
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The risk of fire sales in the tri-party repo market
Begalle, Brian; Martin, Antoine; McAndrews, James; … - Federal Reserve Bank of New York - 2013
This paper studies the risk of "fire sales" in the tri-party repo market, a large and important market where securities … sales of assets by a dealer who, facing a run that could lead to default, sells securities to generate liquidity, and fire …
Persistent link: https://www.econbiz.de/10010659550
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The Fragility of Short-Term Secured Funding Markets
Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - Volkswirtschaftliche Fakultät, … - 2013
This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct...
Persistent link: https://www.econbiz.de/10011140965
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Reducing the systemic risk in shadow maturity transformation
Krieger, Sandra C. - Federal Reserve Bank of New York - 2011
Remarks at the Global Association of Risk Professionals 12th Annual Risk Management Convention, New York City.
Persistent link: https://www.econbiz.de/10010724946
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The fragility of short-term secured funding markets
Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig - In: Journal of Economic Theory 149 (2014) C, pp. 15-42
This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct...
Persistent link: https://www.econbiz.de/10011042933
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Explaining the U.S. tri-party repo market
Copeland, Adam; Duffie, Darrell; Martin, Antoine; … - In: Economic Policy Review (2012) Nov, pp. 17-28
During the 2007-09 financial crisis, it became apparent that weaknesses existed in the design of the U.S. tri-party repo market that could rapidly elevate and propagate systemic risk. This article describes key mechanics of the market, focusing on two that have contributed to its weaknesses and...
Persistent link: https://www.econbiz.de/10011027150
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Fire-sale spillovers and systemic risk
Duarte, Fernando; Eisenbach, Thomas - Federal Reserve Bank of New York - 2013
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance-sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10011027210
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Reducing the systemic risk in shadow maturity transformation
Krieger, Sandra C. - In: Speech (2011) Mar 8
Remarks at the Global Association of Risk Professionals 12th Annual Risk Management Convention, New York City.
Persistent link: https://www.econbiz.de/10008862193
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The fragility of short-term secured funding markets
Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - Federal Reserve Bank of New York - 2013
This paper develops a model of financial institutions that borrow short term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity,...
Persistent link: https://www.econbiz.de/10010699378
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Systemic risk and competition in OTC derivatives dealing: evidence from client failures
Emm, Ekaterina E.; Ince, Ufuk - In: Managerial Finance 37 (2011) October, pp. 1161-1189
to steer clear of derivatives trouble. A broader industry portfolio of securities brokers, dealers, and advisors is …
Persistent link: https://www.econbiz.de/10010814810