Narrow search
Showing 1 - 10 of 184,209
Cover Image
Global liquidity and exchange rates
Adrian, Tobias (contributor); Etula, Erkko M. (contributor);  … - 2009
We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …
Persistent link: https://www.econbiz.de/10003812554
Cover Image
Liquidity, Leverage, and Lehman : A Structural Analysis of Financial Institutions in Crisis
Chen, Ren-Raw - 2015
The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...
Persistent link: https://www.econbiz.de/10013035485
Cover Image
Liquidity and Financial Cycles
Adrian, Tobias; Shin, Hyun Song - 2013
the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …
Persistent link: https://www.econbiz.de/10014216388
Cover Image
The Cultural Revolution in Risk Management
De Jonghe, Frank; Edelsten, Mark; Xavier, Isabel - In: Journal of Financial Perspectives 1 (2013) 1, pp. 179-187
Following much debate among regulators and in society more broadly, it is now widely acknowledged that inadequate risk culture was a key contributor to the global financial crisis of 2007—08 and more recent corporate banking scandals. While there is now a growing consensus that something must...
Persistent link: https://www.econbiz.de/10010991077
Cover Image
The Dynamics of Interest Parity Deviations : The Role of Liquidity
Institute for Monetary and Financial Research, Hong Kong - 2022
interpret the empirical findings based on the interaction of funding and market liquidity in the foreign exchange market. We … funding currencies, which are more liquid and less sensitive to shocks in foreign exchange liquidity, tend to appreciate when … funding liquidity tightens. However, since funding currencies are in the short position under the carry trade strategy we …
Persistent link: https://www.econbiz.de/10014235907
Cover Image
Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10013073134
Cover Image
Determinants of structured finance issuance: A cross-country comparison
Schuetz, Sebastian A. - 2011
Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...
Persistent link: https://www.econbiz.de/10010286571
Cover Image
An alternative to the standardized approach for assessing credit risk under the Basel accords
Konno, Yukiko; Itoh, Yuki - In: Cogent economics & finance 4 (2016) 1, pp. 1-13
The current standardized approach for assessing credit risk under Basel III depends on ratings assigned by credit rating agencies (CRAs). However, this approach presents three problems. First, the definitions of ratings used by CRAs to assess the likelihood of default and recovery rates are not...
Persistent link: https://www.econbiz.de/10011531140
Cover Image
Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
Cover Image
Banks and market liquidity
Arping, Stefan - 2015
I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …
Persistent link: https://www.econbiz.de/10010477097