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Understanding systemic risk : the trade-offs between capital, short-term funding and liquid asset holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

Persistent link: https://www.econbiz.de/10008728707

Consumer bankruptcy and information

Allen, Jason; Damar, H. Evren; Martinez-Miera, David - 2012

We analyze the relationship between the intensity of banks' use of soft-information and household bankruptcy patterns. Using a unique data set on the universe of Canadian household bankruptcies, we document that bankruptcy rates are higher in markets where the collection of soft, or qualitative...

Persistent link: https://www.econbiz.de/10009565242

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10010496138

Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Uncertainty, inflation, and welfare

Chiu, Jonathan (contributor); Molico, Miguel (contributor) - 2008

liquidity risk, in a micro-founded search-theoretical monetary model. We calibrate the model to match the empirical aggregate …

Persistent link: https://www.econbiz.de/10003711687

The impact of bankruptcy reform on insolvency choice and consumer credit

Allen, Jason; Basiri, Kiana - 2016

We examine the impact of the 2009 amendments to the Canadian Bankruptcy and Insolvency Act on insolvency decisions. Rule changes steered debtors out of division I proposals and into the more cost-effective division II proposals. This also led to a significant substitution out of bankruptcies and...

Persistent link: https://www.econbiz.de/10011477142

Order flow segmentation, liquidity and price discovery : the role of latency delays

Brolley, Michael; Cimon, David A. - 2018

to liquidity traders, total welfare falls; with relatively more speculators, total welfare rises. …

Persistent link: https://www.econbiz.de/10011814231

We didn't start the fire : effects of a natural disaster on consumers' financial distress

Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David Tomás - 2023 - Last updated: February 28, 2023

Global climate change is increasing the frequency and severity of natural disasters. We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers' financial stress. We focus on the arrears of...

Persistent link: https://www.econbiz.de/10014232380

Bank runs, portfolio choice, and liquidity provision

Ahnert, Toni; Elamin, Mahmoud - 2019

liquidity risk, competitive banks offer demand deposits. We use global games to link the probability of a bank run to the … the portfolio choice, (i) banks provide more liquidity ex ante (so banks offer a higher deposit rate), and (ii) the …

Persistent link: https://www.econbiz.de/10012101651

Financial intermediation and fire sales with liquidity risk pricing

Cheng, Yuteng; Robatto, Roberto - 2024 - Last updated: May 27, 2024

We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit … through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these …

Persistent link: https://www.econbiz.de/10014562915