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Liquidity risk and funding cost
Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019
We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …
Persistent link: https://www.econbiz.de/10012050871
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Hałaj, Grzegorz - 2023
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10014278677
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10012384482
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Shock amplification in an interconnected financial system of banks and investment funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …
Persistent link: https://www.econbiz.de/10012603035
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Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …
Persistent link: https://www.econbiz.de/10012622810
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A dynamic theory of mutual fund runs and liquidity management
Zeng, Yao - 2017
I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...
Persistent link: https://www.econbiz.de/10011976823
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10012387048
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
Persistent link: https://www.econbiz.de/10012597978
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
. We show how in such a set-up an initial exogenous liquidity shock may lead to a fire-sale spiral. Banks, which are … subject to capital and liquidity requirements, may be forced to sell an illiquid security, which impacts its, endogenously … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …
Persistent link: https://www.econbiz.de/10011976961
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Asset opacity and liquidity
Stenzel, Andre; Wagner, Wolf - 2013
Persistent link: https://www.econbiz.de/10010230624