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Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...

Persistent link: https://www.econbiz.de/10011486236

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...

Persistent link: https://www.econbiz.de/10012489580

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010405480

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

assets towards sovereign bonds and loans. Our findings underscore the importance of accounting for derivatives exposure in …

Persistent link: https://www.econbiz.de/10011888333

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Digital currencies impact on financial stability and financial cycle h2 2021

Ahmetaj, Natasha; Hoda, Bledar; Nikolla, Livia; Goxhaj, … - 2022

Persistent link: https://www.econbiz.de/10014556750

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...

Persistent link: https://www.econbiz.de/10011520642

Traditional banks, shadow banks and the US credit boom : credit origination versus financing

Unger, Robert - 2016

The US credit boom has been identified as one of the causes of the global financial crisis and the resulting debt overhang is seen as the primary reason for the weak economic recovery. Most of the existing literature links the credit boom to the emergence of the shadow banking system. This paper...

Persistent link: https://www.econbiz.de/10011456517

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire … Buy premium. To avoid collateral scarcity, central banks increase the set of eligible collateral assets. However, if the … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and …

Persistent link: https://www.econbiz.de/10011587096

What are the real effects of financial market liquidity? : evidence on bank lending from the euro area

Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and negatively related to credit spreads. Particularly during the...

Persistent link: https://www.econbiz.de/10011897986

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