Showing 1 - 10 of 35
The aim of this thesis is to improve the management of financial risks through the employment of econometric methods … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …
Persistent link: https://www.econbiz.de/10011074619
Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...
Persistent link: https://www.econbiz.de/10010706658
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010706618
shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …
Persistent link: https://www.econbiz.de/10010799319
This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...
Persistent link: https://www.econbiz.de/10011265545
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...
Persistent link: https://www.econbiz.de/10010543516
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...
Persistent link: https://www.econbiz.de/10010757277
banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or …
Persistent link: https://www.econbiz.de/10010757282
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money market and therefore on the implementation of monetary policy. Combining two unique datasets of Dutch banks from 2005 to 2011, we show that banks which...
Persistent link: https://www.econbiz.de/10010757285
We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...
Persistent link: https://www.econbiz.de/10010757286