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A sampling-window approach to transactions-based libor fixing

Duffie, Darrell; Skeie, David; Vickery, James - 2013

We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan...

Persistent link: https://www.econbiz.de/10009709346

Credit market choice

Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2018

Which markets do institutions use to change exposure to credit risk? Using a unique data set of transactions in corporate bonds and credit default swaps (CDS) by large financial institutions, we show that simultaneous transactions in both markets are rare, with an average institution having an...

Persistent link: https://www.econbiz.de/10011894384

Banks' incentives and the quality of internal risk models

Plosser, Matthew C.; Santos, João A. C. - 2014

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … by low-capital banks to improve regulatory ratios. At the portfolio level, the difference in borrower probability of … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

Persistent link: https://www.econbiz.de/10010459741

Shadow banking : a review of the literature

Adrian, Tobias; Ashcraft, Adm B. - 2012

makes shadow banks inherently fragile. Much of shadow banking activities is intertwined with the operations of core … banking institutions and activities, discuss why shadow banks need to be regulated, and review the impact of recent reform …

Persistent link: https://www.econbiz.de/10009657601

Are bank shareholders enemies of regulators or a potential source of market discipline?

Park, Sangkyun (contributor); … - 2001 - [Elektronische Ressource]

, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk … highly risky banks. …

Persistent link: https://www.econbiz.de/10001630859

CoVaR

Adrian, Tobias (contributor); … - 2008

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...

Persistent link: https://www.econbiz.de/10003781783

Monetary cycles, financial cycles, and the business cycle

Adrian, Tobias; Estrella, Arturo; Shin, Hyun Song - 2010

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...

Persistent link: https://www.econbiz.de/10003948217

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021

Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...

Persistent link: https://www.econbiz.de/10012240625

Cournot fire sales

Eisenbach, Thomas M.; Phelan, Gregory - 2018

In standard Walrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far...

Persistent link: https://www.econbiz.de/10011806238

Changing risk-return profiles

Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018

market, we test for changes in the realized volatility of banks over a $50 billion threshold associated with more stringent … these large banks is differentially lower by 9 percentage points after Dodd-Frank compared to pre-crisis levels, controlling … for changes over the same period for all banks and all large firms. …

Persistent link: https://www.econbiz.de/10011868395