Similar Search Results

Basel II and Bank Lending to Emerging Markets: Micro Evidence from German Banks

Liebig, Thilo; Porath, Daniel; Weder di Mauro, Beatrice; … - C.E.P.R. Discussion Papers - 2005

This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a …

Persistent link: https://www.econbiz.de/10005788885

Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015

Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...

Persistent link: https://www.econbiz.de/10011252616

When Everyone Runs for the Exit

Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...

Persistent link: https://www.econbiz.de/10005082543

A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets

Acharya, Viral V; Skeie, David - C.E.P.R. Discussion Papers - 2011

Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank transactions, such … leveraged banks’ precautionary demand for liquidity. When adverse asset shocks materialize, a bank’s ability to roll over debt … is impaired because of agency problems associated with high leverage. In turn, a bank’s propensity to hoard liquidity is …

Persistent link: https://www.econbiz.de/10009385771

From Value at Risk to Stress Testing: The Extreme Value Approach

Longin, François - C.E.P.R. Discussion Papers - 1999

This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory...

Persistent link: https://www.econbiz.de/10005662233

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2005

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

Persistent link: https://www.econbiz.de/10005666418

Optimal Asset Allocation and Risk Shifting in Money Management

Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005666676

The Comparative Analysis of Settlement Systems

Kobayakawa, Shuji - C.E.P.R. Discussion Papers - 1997

After a rapid expansion of financial transactions, both the authorities and financial institutions became aware of the risk involved in interbank settlement systems. To cope with the risk the systems in most economies have been designed so that large-sized payments are settled in the real time...

Persistent link: https://www.econbiz.de/10005667037

Slow Moving Capital

Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - C.E.P.R. Discussion Papers - 2007

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...

Persistent link: https://www.econbiz.de/10005788922

Sophistication in Risk Management, Bank Equity, and Stability

Gersbach, Hans; Wenzelburger, Jan - C.E.P.R. Discussion Papers - 2007

default risk of entrepreneurs individually. Both banking systems compete for deposits, loans, and bank equity. While a … sophisticated system rewards entrepreneurs with low default risks by low loan interest rates, a simple system acquires more bank …

Persistent link: https://www.econbiz.de/10005789172