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Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian; Kaserer, Christoph - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Persistent link: https://www.econbiz.de/10010305731

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708

Equilibrium security prices with capital income taxes and an exogenous interest rate

Rapp, Marc Steffen; Schwetzler, Bernhard - 2008

We are interested in the effect of capital income taxes upon security prices when investors face locally segmented stock markets and a global bond market. Therefore, we analyze an equilibrium model of an economy with binomial uncertainty, an exogenous risk-free interest rate and a representative...

Persistent link: https://www.econbiz.de/10010305709

Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?

Klingler, Sven; Syrstad, Olav - 2023

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

Persistent link: https://www.econbiz.de/10014551704

Is the revolving door of Washington a back door to excess corporate returns?

Canayaz, Mehmet I.; Martinez, Jose Vicente; Ozsoylev, Han N. - 2015

In this paper, we look into the so-called "revolving door of Washington", which is the movement of individuals between federal government positions and jobs in the private sector, and examine its link to long-run stock returns. We find that firms where current public officials become future...

Persistent link: https://www.econbiz.de/10011440132

Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry

Ding, Mingfa; Nilsson, Birger; Suardi, Sandy - 2013

The Chinese government implemented the Qualified Foreign Institutional Investor (QFII) system in order to advance the quality of local capital markets by participation of foreign institutional investors. This paper identifies the channels through which foreign institutional investors influence...

Persistent link: https://www.econbiz.de/10013208639

Stock-bond return correlation, bond risk premium fundamentals, and fiscal-monetary policy regime

Li, Erica X. N.; Zha, Tao; Zhang, Ji; Zhou, Hao - 2020

We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation...

Persistent link: https://www.econbiz.de/10012653485

Burying Libor

Klingler, Sven; Syrstad, Olav - 2019

We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model in which banks and non-banks can lend to each other, subject to realistic regulatory constraints, we show empirically that tighter financial regulation increases interbank rates...

Persistent link: https://www.econbiz.de/10012661545

Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?

Kerbl, Stefan - 2011

stylised facts of asset returns like fat tails and clustered volatility. Introducing regulatory measures shows that only a … mandatory risk limit is beneficial from every perspective, while a short selling ban – though reducing volatility – increases … tail risk. The contrary holds true for a Tobin Tax: it reduces the occurrence of crashes but increases volatility …

Persistent link: https://www.econbiz.de/10013370091

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