Showing 1 - 9 of 9
Securities financing transaction (SFT) markets and the management and usage of collateral are elements of the financial system which are of systemic relevance. As such, there is a clear need for enhanced transparency and regulatory oversight. The European Systemic Risk board (ESRB) mandated a...
Persistent link: https://www.econbiz.de/10013248869
Large-value payment systems (LVPS) often have a tiered structure where only a limited number of banks have direct access to these systems and every other institution accesses the system through agency arrangements with the direct participants. As such, a high degree of tiering is often perceived...
Persistent link: https://www.econbiz.de/10012948052
Large-value payment systems (LVPS) often have a tiered structure where only a limited number of banks have direct access to these systems and every other institution accesses the system through agency arrangements with the direct participants. As such, a high degree of tiering is often perceived...
Persistent link: https://www.econbiz.de/10012948168
Persistent link: https://www.econbiz.de/10011741211
We study the impact of common asset holdings across different financial sectors on financial stability. In particular, we model indirect contagion via fire sales across UK banks and non-banks. Fire sales are triggered by different responses to a financial shock: banks and non unit-linked...
Persistent link: https://www.econbiz.de/10012828744
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Persistent link: https://www.econbiz.de/10014533533
We study the effect of counterparty risk on the stability of a banking system using stylized banking cascade models calibrated with UK exposure and balance sheet data from regulatory reports. We observe the development of a fragile phase, at which small perturbations to banks' capital reserves...
Persistent link: https://www.econbiz.de/10013023589
Using a regulatory transaction-level dataset of the UK repo market, we examine the determinants of haircuts. We find that transaction maturity and collateral quality is of a first order importance in determining haircuts. We also find that counterparties matter in determining haircuts. Hedge...
Persistent link: https://www.econbiz.de/10012872033