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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Bank Herding and Systemic Risk
Cai, Jin - 2020
This paper studies the relation between bank herding and financial system stability. I develop a set of bank …-specific, time-varying measures of herding in asset, liability, and off-balance sheet (OBS) portfolios and empirically examine the … relation between bank herding and systemic risk contribution. I find that for large banks, asset herding is associated with …
Persistent link: https://www.econbiz.de/10012846017
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Bank herding and systemic risk
Cai, Jin - In: Economic systems 46 (2022) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10014226799
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Margin requirements and systemic liquidity risk
Bakoush, Mohamed; Gerding, Enrico H.; Wolfe, Simon - In: Journal of international financial markets, … 58 (2019), pp. 78-95
Persistent link: https://www.econbiz.de/10012127827
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How excessive is banks' maturity transformation?
Segura, Anatoli; Suárez, Javier - 2016 - Revised September 2016
Persistent link: https://www.econbiz.de/10011654540
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How excessive is banks' maturity transformation?
Segura, Anatoli; Suárez, Javier - 2016
Persistent link: https://www.econbiz.de/10011941170
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How excessive is banks' maturity transformation?
Segura, Anatoli; Suárez, Javier - 2016
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10011974655
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Collective moral hazard, maturity mismatch and systemic bailouts
Farhi, Emmanuel; Tirole, Jean - 2009
Persistent link: https://www.econbiz.de/10003862249
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Collective moral hazard, maturity mismatch, and systemic bailouts
Farhi, Emmanuel; Tirole, Jean - In: The American economic review 102 (2012) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10009568210
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On endogenous risk, the amplification effects of financial systems and macro prudential policies
Majnoni, Giovanni; Powell, Andrew - 2011
Persistent link: https://www.econbiz.de/10010217600