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Did Bank Indonesia cause the credit crunch of 2006 - 2008?
Mustika, Gandjar; Suryatinc, Enny; Hall, Maximilian; … - In: Review of quantitative finance and accounting 44 (2015) 2, pp. 269-298
Persistent link: https://www.econbiz.de/10011327630
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Propagation of financial shocks : the case of venture capital
Townsend, Richard R. - In: Management science : journal of the Institute for … 61 (2015) 11, pp. 2782-2802
Persistent link: https://www.econbiz.de/10011409172
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Automation, intermediation and the Flash Crash
Kirilenko, Andrei; Kyle, Albert S.; Samadi, Mehrdad; … - In: Journal of investment management : JOIM 16 (2018) 4, pp. 17-28
Persistent link: https://www.econbiz.de/10011961003
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Optimal regulation of financial intermediaries
Di Tella, Sebastian - 2017
Persistent link: https://www.econbiz.de/10011704868
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Fragility of secured credit chains
Gottardi, Piero; Maurin, Vincent; Monnet, Cyril - 2023 - This version: February, 2023
We present a model of secured credit chains in which assets generated from intermediation activity and pledged as … borrower, forming a credit chain. Intermediation profits can thus act as collateral for the loan to fund the dealer's own … fragility in the chain. The arrival of news about the value of the revenue of the intermediation activity further increases …
Persistent link: https://www.econbiz.de/10014250942
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Fragility of secured credit chains
Gottardi, Piero; Maurin, Vincent; Monnet, Cyril - 2023 - This version: February, 2023
We present a model of secured credit chains in which assets generated from intermediation activity and pledged as … borrower, forming a credit chain. Intermediation profits can thus act as collateral for the loan to fund the dealer's own … fragility in the chain. The arrival of news about the value of the revenue of the intermediation activity further increases …
Persistent link: https://www.econbiz.de/10014251897
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Banking crises in historical perspective
Frydman, Carola; Xu, Chenzi - In: Annual review of financial economics 15 (2023), pp. 265-290
Persistent link: https://www.econbiz.de/10014426273
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Financial fragility with collateral circulation
Gottardi, Piero; Maurin, Vincent; Monnet, Cyril - 2021
Persistent link: https://www.econbiz.de/10012433507
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VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis
Szado, Edward - 2019
In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many assets which are typically considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX experienced significant increases and in 2008 repeatedly...
Persistent link: https://www.econbiz.de/10012906250
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International propagation of financial shocks in a search and matching environment
Isoré, Marlène - 2011 - First draft: April 30, 2010, This version: April 13, 2011
This paper develops a two-country multi-frictional model where the freeze on liquidity access to commercial banks in one country raises unemployment rates via credit rationing in both countries. The expenditure-switching channel, whereby asymmetric monetary shocks traditionally lead to negative...
Persistent link: https://www.econbiz.de/10011346436