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A Dynamic Theory of Collateral Quality and Long-Term Interventions
Lee, Michael Junho - 2019
We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is …
Persistent link: https://www.econbiz.de/10012865106
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Endogenous Collateral Quality and Economic Recovery
Liu, Zehao - 2021
The quality of collateral used in collateralized loans depends on the proportion of the investment to the lender …, making the lender demand collateral of higher quality. After a crisis, economies with high investment ratios can expect a … faster recovery when this ratio is reduced, as firms can use lower-quality collateral and the financing costs are reduced …
Persistent link: https://www.econbiz.de/10013214428
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(In)efficient repo markets
Dieler, Tobias; Mancini, Loriano; Schürhoff, Norman - 2021
Repo markets trade off the efficient allocation of liquidity in the financial sector with resilience to funding shocks. The repo trading and clearing mechanisms are crucial determinants of the allocation-resilience tradeoff. The two common mechanisms, anonymous central-counterparty (CCP) and...
Persistent link: https://www.econbiz.de/10012487590
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Asset Encumbrance, Bank Funding and Fragility
Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2021
We propose a model of asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank’s choice of encumbrance trades off the benefit of expanding profitable investment funded by cheap long-term secured debt against...
Persistent link: https://www.econbiz.de/10013248957
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Asset Encumbrance and Bank Risk : Theory and First Evidence from Public Disclosures in Europe
Banal-Estañol, Albert; Benito, Enrique; Khametshin, Dmitry - 2021
collateral haircuts and the endogenous risk of a liquidity-driven bank run. We then test the model’s predictions using a novel … encumbrance have higher rates of overcollateralisation and rely less on secured debt. Consistent with theory, the effects are …
Persistent link: https://www.econbiz.de/10013214726
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Asset encumbrance, bank funding and financial fragility
Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...
Persistent link: https://www.econbiz.de/10011451099
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Asset encumbrance, bank funding and financial fragility
Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...
Persistent link: https://www.econbiz.de/10011486236
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Unsecured and secured funding
Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018
hoarding theories. Instead, lenders are precautionary in the sense that they prefer to lend against safe collateral. …
Persistent link: https://www.econbiz.de/10011818292
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Loan insurance, adverse selection and screening
Ahnert, Toni; Kuncl, Martin - 2019
We examine insurance against loan default when lenders can screen in primary markets at a heterogeneous cost and learn loan quality over time. In equilibrium, low-cost lenders screen loans but some high-cost lenders insure them. Insured loans are risk-free and liquid in a secondary market, while...
Persistent link: https://www.econbiz.de/10012287496
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Asset Encumbrance, Bank Funding and Financial Fragility
Ahnert, Toni - 2016
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...
Persistent link: https://www.econbiz.de/10012988410