such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements … forgo incentives for transactions that use collateral only for insurance. With collusion about risk taking, a CCP needs to … charge collateral in line with the worst counterparty quality to control risk taking. Requiring more collateral reduces …

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on … guarantees induce excessive encumbrance and fragility. To mitigate such risk shifting, we study prudential regulatory tools …

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on … guarantees induce excessive encumbrance and fragility. To mitigate such risk shifting, we study prudential regulatory tools …

dataset of US firms from 1990 to 2010, we show that property, plant and equipment are important drivers of the collateral … channel, while inventories and receivables are less important. The collateral channel is more pronounced for firms that have … the financial crisis. Our study provides new evidence on the cross-sectional and time-varying importance of the collateral …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …

investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We … of systemic risk in terms of expected losses. We further quantify the effects of cyclicality, leverage, volatility and …

Does higher policy uncertainty lead to higher financial risk for sure? This study shows an opposite evidence. Based on … large negative impact on the bank systemic risk, and the effect is more pronounced for small and unprofitable banks. Further … analysis shows that the decline in bank systemic risk is due to the lower similarity of asset and liability structure between …