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Anatomy of a Liquidity Crisis : Corporate Bonds in the COVID-19 Crisis
O'Hara, Maureen - 2020
We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two …-primary dealers, shifted from buying to selling, causing dealers' inventories to plummet. Liquidity provisions in electronic customer …-to-customer trading increased, though at prohibitively high costs. By improving dealer funding conditions and providing a liquidity …
Persistent link: https://www.econbiz.de/10012832484
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Debt Correlations in the Wake of the Financial Crisis : What are Appropriate Default Correlations for Structured Products?
Griffin, John M. - 2016
This paper proposes several frameworks to estimate the appropriate default correlations for structured products, each of which jointly considers the role of co-movements in modeled risk characteristics and un-modeled systematic risk, or 'frailty'. We contrast our estimates with credit rating...
Persistent link: https://www.econbiz.de/10013005640
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Post-Crisis Regulations, Market Making, and Liquidity in Over-the-Counter Markets
Wang, Xinjie - 2020
the post-crisis regulations—the re-distribution of liquidity among assets with different risk weights assigned to them …
Persistent link: https://www.econbiz.de/10012850380
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The Fragile Capital Structure of Hedge Funds and the Limits to Arbitrage
Liu, Xuewen - 2014
During a financial crisis, when markets most need liquidity and arbitrage tradings, hedge funds often reduce their … capital structure of hedge funds, combined with low market liquidity, introduces coordination risk to hedge fund's investors …
Persistent link: https://www.econbiz.de/10013071214
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How J. P. Morgan picked the winners and losers in the Panic of 1907 : an exploration of the individual over the institution as lender of last resort
Moen, Jon R.; Rodgers, Mary Tone - In: Essays in economic & business history : the journal of … 40 (2022), pp. 156-187
institutions during the resolution of a financial crisis. First, we examine how Morgan coordinated emergency liquidity infusions … applicants for liquidity had participated in earlier bond underwriting syndicates with Morgan. The single denial of aid was to an … or liquidity infusions to Morgan-backed issuers than to issuers backed by other bankers. These findings provide support …
Persistent link: https://www.econbiz.de/10013431103
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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
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10010206145
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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
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Newton's Financial Misadventures in the South Sea Bubble
Odlyzko, Andrew - 2018
One of the most popular investment anecdotes relates how Isaac Newton, after cashing in some large early gains, staked his fortune on the success of the South Sea Company of 1720 and lost heavily in the ensuing crash. However, this tale is based on only a few scraps of hard evidence, some of...
Persistent link: https://www.econbiz.de/10012932159
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The value of bond underwriter relationships
Rüden, Stine Louise von; Dick-Nielsen, Jens; Stenbo … - 2021
We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance...
Persistent link: https://www.econbiz.de/10012432341