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-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …
Persistent link: https://www.econbiz.de/10014482949
In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …
Persistent link: https://www.econbiz.de/10013156451
shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock …
Persistent link: https://www.econbiz.de/10012603035
-term bondholders and (mostly) risk-taking long-term bondholders. We establish that investor demands for safety create a negative … common measures of bank liquidity. Consistent with our model, our bank-level empirical analysis of these capital-liquidity … tradeoffs show (1) that bank liquidity measures have a strong and negative relationship to its capital ratio for both large and …
Persistent link: https://www.econbiz.de/10014048751
The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …
Persistent link: https://www.econbiz.de/10011460084
Persistent link: https://www.econbiz.de/10011912996
We build a moral hazard model to study incentives of financial intermediaries (shortly, bankers) facing a leverage-insurance trade-off in their investment choice. We demonstrate that the choice is affected by two recent transformations of the financial ecosystem bankers inhabit: (i) the rise of...
Persistent link: https://www.econbiz.de/10011978393
presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the … watched and anticipated, in order to manage the risk which might arise from the liquidity reserve itself. …This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of …
Persistent link: https://www.econbiz.de/10010340136
. So far, little is known about factors influencing how much they invest in illiquid assets. We conjecture that liquidity … generate liquidity requirements, while regulations impose capital requirements. Consistent with our model we empirically find …
Persistent link: https://www.econbiz.de/10012854382
, like short-term Efficient-Market-Hypothesis, EMH. In addition, the model includes a new measure of risk: a liquidity … straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving … little error margin in comparing market risk for different financial funds. As such, it should be a tool of preference for …
Persistent link: https://www.econbiz.de/10013003836