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Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"

Adrian, Tobias - 2015

Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a shock to the level of banks' solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger-causes higher solvency risk. These results point...

Persistent link: https://www.econbiz.de/10011341020

Risk-neutral systemic risk indicators

Malz, Allan M. - 2013

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

Persistent link: https://www.econbiz.de/10010333576

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010333593

Is size everything?

Antill, Samuel; Sarkar, Asani - 2018

We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...

Persistent link: https://www.econbiz.de/10012144707

Financial stability policies for shadow banking

Adrian, Tobias - 2014

This paper explores financial stability policies for the shadow banking system. I tie policy options to economic mechanisms for shadow banking that have been documented in the literature. I then illustrate the role of shadow bank policies using three examples: agency mortgage real estate...

Persistent link: https://www.econbiz.de/10011341010

Financial stability monitoring

Adrian, Tobias; Covitz, Daniel; Liang, Nellie - 2013

While the Dodd-Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...

Persistent link: https://www.econbiz.de/10010333580

The minimum balance at risk: A proposal to mitigate the systemic risks posed by money market funds

McCabe, Patrick E.; Cipriani, Marco; Holscher, Michael; … - 2012

This paper introduces a proposal for money market fund (MMF) reform that could mitigate systemic risks arising from these funds by protecting shareholders, such as retail investors, who do not redeem quickly from distressed funds. Our proposal would require that a small fraction of each MMF...

Persistent link: https://www.econbiz.de/10010283548

Policy perspectives on OTC derivatives market infrastructure

Duffie, Darrell; Li, Ada; Lubke, Theo - 2010

In the wake of the recent financial crisis, over-the-counter (OTC) derivatives have been blamed for increasing systemic … risk. Although OTC derivatives were not a central cause of the crisis, the complexity and limited transparency of the … market reinforced the potential for excessive risk-taking, as regulators did not have a clear view into how OTC derivatives …

Persistent link: https://www.econbiz.de/10010287190

Visible and hidden risk factors for banks

Schuermann, Til; Stiroh, Kevin J. - 2006

rate and credit derivatives. Even in our broadest model, however, considerable residual variation remains, with the mean …

Persistent link: https://www.econbiz.de/10010333053

Empirical network contagion for U.S. financial institutions

Duarte, Fernando; Jones, Collin - 2017

We construct an empirical measure of expected network spillovers that arise through default cascades for the U.S. financial system for the period 2002-16. Compared to existing studies, we include a much larger cross section of U.S. financial firms that comprises all bank holding companies, all...

Persistent link: https://www.econbiz.de/10011942771

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