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Backtesting macroprudential stress tests

Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - 2020

In this paper, we consider models of price-mediated contagion in a banking networkof common asset holdings. For these models, the literature proposed two alternativeclasses of liquidation dynamics:threshold dynamics(banks liquidate their invest-ment portfolios only after they have defaulted),...

Persistent link: https://www.econbiz.de/10012258918

You can‘t always get what you want (where you want it) : cross-border effects of the US money market fund reform

Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2022

This paper documents significant cross-border effects of the 2014 US money market fund (MMF) reform on MMFs in the euro … area. As US-based prime MMFs became less money-like due to the reform, euro area-based prime MMFs received large inflows … prime funds in the euro area reduced their risk-taking. However, the industry became more concentrated overall and more …

Persistent link: https://www.econbiz.de/10012876146

Connected funds

Fricke, Daniel; Wilke, Hannes - 2020

Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...

Persistent link: https://www.econbiz.de/10012264505

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

Persistent link: https://www.econbiz.de/10011740280