We investigate liquidity shocks and shocks to fundamentals during financial crises at commercial banks, investment … banks, and hedge funds. Liquidity shock amplification models assume that widespread funding problems cause fire sales. We …

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 … insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …

market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since … 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that …

dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are … crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are …

borrow from the Term Auction Facility rather than from the discount window. The incidence of stigma varied according to bank …' borrowing costs during the crisis. Our results have important implications for the provision of liquidity by central banks …

empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities … risky than banks that accessed the DW. Our results can contribute to a better design of liquidity facilities during a …

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have … considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis … liquidity. …

find that the market pricing of bank debt appears to have responded to changes in liquidity measures, especially at large … liquidity regulations. Basel III and the capital stress tests introduced new requirements and new definitions while retaining …