Brunnermeier et al., (2017) propose a securitization solution for the bank-sovereign doom-loop. This shields senior tranche investors from actual defaults but whether it stabilizes flight-to-safety panics is unclear. We apply dynamic VaR and Marginal Expected Shortfall methods to assess whether...

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

Dealers are intermediaries between different market segments. A dealer typically maintains a network of customer relationships (B2C) and simultaneously participates in an inter-dealer market (B2B) which allows him to manage his inventory. We represent this market interface role in a new dynamic...

Brunnermeier et al. (2016) propose the introduction of sovereign bond-backed securities (SBBS) in the euro area. That and other papers only address how the securitization would insulate senior bond holders from actual default-related losses. This paper generalizes the assessment by using the...

We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the COVID-19 market distress. We employ a unique dataset that reports the availability of different types of LMTs in a sample of Irishdomiciled corporate bond funds. We find that...