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To Ask or not to Ask : Collateral Vs. Screening in Lending Relationships
Degryse, Hans - 2019
particular for collateral that saves more on regulatory capital …
Persistent link: https://www.econbiz.de/10012893708
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To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization
Degryse, Hans - 2019
particular for collateral that saves more on regulatory capital …
Persistent link: https://www.econbiz.de/10012897240
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Liquidity Transformation, Collateral Assets and Counterparties
de Roure, Calebe - 2019
We investigate how counterparties' characteristics, and the collateral they use, interact with their demand for … facilities to meet their liquidity needs. Collateral assets used for FLS are less liquid, since almost all assets are loan … portfolios. Riskier and larger institutions are more likely to pre-position collateral in the FLS, but these counterparties do …
Persistent link: https://www.econbiz.de/10012862159
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Endogenous Choice of Bank Liquidity : The Role of Fire Sales
Acharya, Viral V. - 2010
Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, we consider the effect of fire sales and entry during crises on banks' ex-ante choice of liquid asset holdings. We consider a setting with limited pledgeability of risky cash flows relative to safe ones...
Persistent link: https://www.econbiz.de/10013150020
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The Sterling Unsecured Loan Market During 2006-08 : Insights from Network Theory
Vila, Anne - 2010
We model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established network techniques, we find strong evidence of the existence of a core of highly connected banks alongside a...
Persistent link: https://www.econbiz.de/10013139794
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Systemic Capital Requirements
Webber, Lewis - 2011
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks' capital...
Persistent link: https://www.econbiz.de/10013119487
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Intraday Two-Part Tariff in Payment Systems
Ota, Tomohiro - 2011
This paper studies the optimal intraday pricing in payment systems and its impact on banks' payment behaviour and intraday liquidity management. A model is developed to compare the performance of two different mechanisms to reduce payment delay: a throughput guideline and a tariff that varies...
Persistent link: https://www.econbiz.de/10013124371
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Using Shapley's Asymmetric Power Index to Measure Banks' Contributions to Systemic Risk
Garratt, Rodney - 2012
An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the system as a whole above a critical threshold. We determine the contribution of banks to this systemic risk using a generalisation of the Shapley value; a concept originating in...
Persistent link: https://www.econbiz.de/10013098830
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Size and Complexity in Model Financial Systems
Arinaminpathy, Nimalan - 2012
The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective towards financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by...
Persistent link: https://www.econbiz.de/10013099669
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A Network Model of Financial System Resilience
Anand, Kartik - 2012
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents -...
Persistent link: https://www.econbiz.de/10013103548