Narrow search
Showing 1 - 10 of 2,326
Cover Image
Banks and market liquidity
Arping, Stefan - 2015
I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …
Persistent link: https://www.econbiz.de/10010477097
Cover Image
Funding Liquidity and Market Liquidity : The Broker-Dealer Perspective
Macchiavelli, Marco - 2019
We provide the first direct analysis of how dealers' funding liquidity affects their liquidity provision in securities … SEC 2016 money market fund reform as an instrument, we show that funding liquidity indeed has a causal effect on market … liquidity. Dealers with lower funding liquidity tend to have smaller market shares and they execute more trades on an agency …
Persistent link: https://www.econbiz.de/10012895433
Cover Image
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
Cover Image
Dealer Funding and Market Liquidity
Bruche, Max - 2020
We consider a model in which dealers intermediate trades between clients and provide immediacy, or, market liquidity … dealers' ability to raise external finance and hence to compete aggressively with each other in providing liquidity. To … leverage is therefore endogenous and related to variations in liquidity across otherwise unrelated markets. Our results shed …
Persistent link: https://www.econbiz.de/10012850951
Cover Image
Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …
Persistent link: https://www.econbiz.de/10013405318
Cover Image
Simulating Stress Across the Financial System : The Resilience of Corporate Bond Markets and the Role of Investment Funds
Baranova, Yuliya - 2018
This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather...
Persistent link: https://www.econbiz.de/10012925858
Cover Image
Efficiently Inefficient Markets for Assets and Asset Management
Garleanu, Nicolae - 2017
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...
Persistent link: https://www.econbiz.de/10012971275
Cover Image
Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …
Persistent link: https://www.econbiz.de/10013026463
Cover Image
The Use and Usefulness of Big Data in Capital Markets
Chi, Feng; Hwang, Byoung-Hyoun; Zheng, Yaping - 2022
We study whether “big data” can help market participants form more accurate beliefs. We look at analysts and record when they explicitly reference the use of big data in their written reports. We find that analysts frequently draw from big data, particularly when receiving more timely...
Persistent link: https://www.econbiz.de/10013305569
Cover Image
The New Landscape of Financial Markets : Participants and Asset Classes
Mitra, Gautam; Baigurmanova, Dina; Jhunjhunwala, Shrey - 2022
We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...
Persistent link: https://www.econbiz.de/10013289584