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Liquidity, Leverage, and Lehman : A Structural Analysis of Financial Institutions in Crisis
Chen, Ren-Raw - 2015
The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...
Persistent link: https://www.econbiz.de/10013035485
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Overinvestment, leverage and financial system liquidity : a challenging approach
López-de-Foronda, Óscar; López-de-Silanes, Florencio; … - In: Business research quarterly : BRQ 22 (2019) 2, pp. 96-104
The aim of this paper is to analyse the influence of financial system liquidity and corporate leverage on a firm … traditional role as a managerial control mechanism. Instead, the supply of systemic liquidity results in corporate leverage …, our results show a significant and positive relationship between corporate leverage and overinvestment when the liquidity …
Persistent link: https://www.econbiz.de/10012015933
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Liquidity management in banking : what is the role of leverage?
Vo, Quynh Anh - 2015
This paper proposes a positive theory of the links between banks' capitalisation and their liquidity risk taking, the … extent of fire-sale problems, and the severity of liquidity crises. In a basic framework with a single bank, we find that … banks' incentives to hold liquidity for precautionary reasons are increasing with their capital. In a continuum …
Persistent link: https://www.econbiz.de/10011506358
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Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …
Persistent link: https://www.econbiz.de/10012622810
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Liquidity Management, Fire Sale and Liquidity Crises in Banking : The Role of Leverage
Gomez, Fabiana; Vo, Quynh-Anh - 2020
This paper proposes a positive theory of the link between banks’ capitalisation and their liquidity-risk taking as well … as the severity of fire-sale problems and liquidity crises. In the basic framework of an individual bank’s decisions, we … find that banks’ incentives to hold liquidity for precautionary reason are increasing with their capital. In a continuum …
Persistent link: https://www.econbiz.de/10014090272
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How Do Banks Adapt Their Asset Holdings to Binding Leverage Ratio and Liquidity Requirements under Basel III?
Ita, Andreas - 2017
parallel to the implementation of Basel III, a non-risk-sensitive leverage ratio and new liquidity standards are introduced. I … their voluntary liquidity reserves, or in combination with a binding liquidity coverage ratio requirement, to shrink the …
Persistent link: https://www.econbiz.de/10012967019
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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Capital Structure, Liquidity and Miscoordination on Runs
Schilling, Linda - 2016
We analyze miscoordination on runs among debt investors under changing capital structure and market liquidity of firm … assets. Investors draw on a finite, common pool of liquidity. In case of a run, repay to debt investors is partial and …. When liquidity dries up, increasing short-term financing may decrease the probability of runs, more short-term debt can …
Persistent link: https://www.econbiz.de/10013003251
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A dynamic model of bank behaviour under multiple regulatory constraints
Behn, Markus; Daminato, Claudio; Salleo, Carmelo - 2019
liquidity structures and analyses the effects of changes in regulatory capital and liquidity requirements as well as their …
Persistent link: https://www.econbiz.de/10011975498
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Bank leverage, welfare, and regulation
Admati, Anat R.; Hellwig, Martin - 2018 - Revised January 14, 2019
it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy that …-faire are inefficient and involve excessive borrowing, with default risks that jeopardize the purported liquidity benefits …
Persistent link: https://www.econbiz.de/10011977827