This paper measures credit risk in prime money market funds (MMFs) and studies how such credit risk evolved during the eurozone crisis of 2011-2012. To accomplish this, we estimate the annualized expected loss on each fund's portfolio. We also calculate by Monte Carlo the cost of insuring a fund...

We study investor redemptions and portfolio rebalancing decisions of prime money market mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs' risk exposures to Europe, which leads managers to withdraw funding from...

On 16th November 2009, SUERF, CEPS and the Belgian Financial Forum coorganized a conference "Crisis management at cross-roads" in Brussels. All papers in the present volume are based on contributions at the conference and the SUERF Annual Lecture which followed the event.

On 23 July 2014, the U.S. Securities and Exchange Commission (SEC) passed the "Money Market Reform: Amendments to Form PF ," designed to prevent investor runs on money market mutual funds such as those experienced in institutional prime funds following the bankruptcy of Lehman Brothers. The...

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Money market funds (MMFs) that started as a U.S. phenomenon in 1971, in nearly forty years have grown into a $5.8 trillion global industry. In the early 1980s the European investment management community adopted MMFs with certain variations to fit the local legislations and practices. The market...

The present study examines the impact of the current fiscal crisis in the euro area on the Greek banking system and the measures adopted to preserve its stability. It is divided into 3 Sections:(a) Section 1 contains an overview of the causes of the recent (2007-2009) international financial...

When the troubles in the subprime markets began surfacing 2007, developments unfolded rapidly in the European MMF industry. The industry suffered from asset price drops and investor redemptions. But the difficulties of the MMF industry also spread to the banking sector and contributed to general...

Money market funds (MMFs) are investment funds whose primary objectives are to maintain the principal value of the funds and offer a return in line with money market rates, while providing daily liquidity to their investors. In Europe, MMFs manage approximately EUR 1 trillion in assets, with...