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This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such...
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Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rightsto redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several...
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This paper characterizes the run behavior of sophisticated (institutional) and unsophisticated (retail) investors by studying the runs on prime money market funds (MMFs) of March 2020, at the beginning of the COVID-19 pandemic. For both U.S. and European institutional prime MMFs, the runs were...
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Connections among institutions in the global financial network create the potential for risk to propagate and for failures to cascade as successive institutions fail. As conditions, such as capital requirements change, institutions may modify their behavior in ways that can fundamentally change...
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Should bank managers be liable for taking excessive risks? The paper cautions that manager liability has very little … consequence, managers face considerable uncertainty on the applicable standard of care and hence on how they can avoid liability …. Second, exposing managers to uncertain liability is inconsistent with their role as agents (corporate organs). Banks will …
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Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...
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