This paper studies the risk of "fire sales" in the tri-party repo market, a large and important market where securities … available to mitigate the risk of pre-default fire sales and that no established tools currently exist to mitigate the risk of …

a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on … default risk is in the form of higher default premia. Further, with high initial leverage, reductions in risk capital decrease …

between short-term repo and long-term investments that banks need to finance. The resulting rollover risk in repo financing … failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate …

, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …