Similar Search Results

Second liens and the holdup problem in mortgage renegotiation

Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - 2014

When borrowers are delinquent, senior debtholders prefer liquidation whereas junior debtholders prefer to maintain their option value by delaying resolution or modifying the loan. In the mortgage market, a conflict of interest (“holdup”) arises when servicers of securitized senior liens are...

Persistent link: https://www.econbiz.de/10010353293

Why high leverage is optimal for banks

DeAngelo, Harry; Stulz, René M. - 2013 - Rev. May 29, 2013

Liquidity production is a central function of banks. High leverage is optimal for banks in a model that has just enough …) safe/liquid debt, but no taxes or other traditional motives to lever up. Because only safe debt commands a liquidity …

Persistent link: https://www.econbiz.de/10009782420

Funding liquidity risk and the cross-section of MBS returns

Kitsul, Yuriy; Ochoa, Marcelo - 2016

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …

Persistent link: https://www.econbiz.de/10011500433

Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?

Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016

during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the … the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that … the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply …

Persistent link: https://www.econbiz.de/10011578151

Decentralized Lending : Empirical Analysis of Interest and Liquidation Mechanisms

Schaible, Matthias - 2022

This book deals with the concept of Decentralized Lending on the Blockchain. In order to familiarize with the topic, the basic principles of the underlying technology, such as blockchain, smart contracts or the general architecture of Decentralized Finance, are highlighted. More specific points...

Persistent link: https://www.econbiz.de/10013349762

Quantification of Structural Liquidity Risk in Banks

Wieser, Christoph - 2022

Introduction -- Liquidity and risk -- Liquidity risk regulation -- Liquidity risk management -- Model for the … quantification of structural liquidity risk -- Calculation -- Conclusion -- References. …Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits …

Persistent link: https://www.econbiz.de/10013414562

A new approach to identifying the real effects of uncertainty shocks

Shin, Minchul; Zhong, Molin - 2016 - This version: April 25, 2016

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make three contributions to the literature. First, the...

Persistent link: https://www.econbiz.de/10011500382

Incentives for Collaboration and Competition : Experimental Evidence on Innovation, Behavior and Performance

Heite, Jonas - 2020 - 1st ed. 2020.

Subsidized R&D collaboration: The effect of innovation vouchers on innovation activity and performance -- Choking under pressure: The effect of asymmetric contests on effort, stress and performance -- Performance in contests: The role of risk and confidence.

Persistent link: https://www.econbiz.de/10012399250

Gesundheitsökonomische Bewertung von Präventionsmaßnahmen : Eine Markov-Modellierung zur Analyse der Kosten-Effektivität juveniler Bewegungsförderung

Liersch, Sebastian - 2016

Wirtschaftlichkeitsuntersuchungen und gesundheitsökonomische Evaluation -- Methodik der Entscheidungsanalyse -- Entwicklung eines Markov-Modells -- Ergebnisse der Basisfallbetrachtung, Sensitivitäts- und Szenarioanalysen des Fallbeispiels.

Persistent link: https://www.econbiz.de/10013414512

The risky steady state and the interest rate lower bound

Hills, Timothy S.; Nakata, Taisuke; Schmidt, Sebastian - 2016 - This draft: January 2016

Even when the policy rate is currently not constrained by its effective lower bound (ELB), the possibility that the policy rate will become constrained in the future lowers today's inflation by creating tail risk in future inflation and thus reducing expected inflation. In an empirically rich...

Persistent link: https://www.econbiz.de/10011499709