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Interbank Lending, Credit Risk Premia and Collateral

Heider, Florian - 2009

We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10013155115

On Collateral : Implications for Financial Stability and Monetary Policy

Corradin, Stefano - 2017

This paper examines the role of collateral in the financial system, with special emphasis on the implications for financial stability and the conduct of monetary policy. First, we review what drives the demand and supply for both real and financial collateral assets. Then we examine financial...

Persistent link: https://www.econbiz.de/10012943962

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model …

Persistent link: https://www.econbiz.de/10011605153

Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk

Heider, Florian - 2009

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks' asset risk affects funding liquidity in the interbank market. Several interbank market...

Persistent link: https://www.econbiz.de/10013153429

Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...

Persistent link: https://www.econbiz.de/10011605172

Money Markets, Central Bank Balance Sheet and Regulation

Corradin, Stefano; Eisenschmidt, Jens; Hoerova, Marie; … - 2021

with new Basel III regulations and with central bank policies (liquidity provision, asset purchases and the Securities … with worsening money market conditions, while higher central bank liquidity provision was associated with reduced money … market stress. After 2015, the evidence is consistent with central bank asset purchases inducing scarcity effects in some …

Persistent link: https://www.econbiz.de/10013315169

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2012

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...

Persistent link: https://www.econbiz.de/10013113017

Clearing, Counterparty Risk and Aggregate Risk

Biais, Bruno - 2012

We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of centralized clearing, as opposed to no or...

Persistent link: https://www.econbiz.de/10013100399