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Financial Armageddon Routs Law Again
Georgakopoulos, Nicholas L. - 2013
This essay, after highlighting the unique aspects of financial markets, offers a mostly rational account for financial crises, centering on the 2008 crisis as an example. Market participants may overestimate the duration of high productivity growth due to new technologies and produce occasional...
Persistent link: https://www.econbiz.de/10013077939
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …
Persistent link: https://www.econbiz.de/10009230899
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Modeling Systemic Risks in Financial Markets
Rej, Abhijnan - 2013
systemic risk in terms of coupled networks.Systemic risk to financial markets is often defined as the risk of a major and rapid … different class of risk agents in the market face, distinct from more conventional kinds of primary and secondary risks due to a …
Persistent link: https://www.econbiz.de/10013072670
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Quantifying contagion risk in funding markets : a model-based stress-testing approach
Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise. …
Persistent link: https://www.econbiz.de/10011304764
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Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration
Haar, Brigitte - 2016
additional aspect of necessary orchestration has emerged, that is the need to control systemic risk. Specific attention is paid …
Persistent link: https://www.econbiz.de/10013006258
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The Governance of Financial Market Infrastructure
Lee, Ruben - 2010
The governance of infrastructure institutions in the financial markets – namely exchanges, central counter-parties (CCPs), and central securities depositories (CSDs) – has become a matter of significant commercial, regulatory, legislative, and even political concern. Such institutions play a...
Persistent link: https://www.econbiz.de/10013148316
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Lessons from international central counterparties : benchmarking and analysis
Lazarow, Alexandre - 2011
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a … risk. -- Financial system regulation and policies ; Financial stability ; Payment, clearing, and settlement systems …
Persistent link: https://www.econbiz.de/10009130555
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What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market mispricing of risk
Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin - 2011
We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and … determinant of market-based sovereign risk, and find evidence of mispricing in PIIGS given current fiscal space and other current … Europe that, before the crisis (2007), were closest in terms of fiscal space (debt/tax). We find that PIIGS default risk is …
Persistent link: https://www.econbiz.de/10008857043
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Contagion in financial networks
Gai, Prasanna; Kapadia, Sujit - 2010
future robustness. -- Contagion ; network models ; systemic risk ; liquidity risk ; financial crises …, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the …
Persistent link: https://www.econbiz.de/10003944765
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What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market pricing of ristk
Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin - 2011
We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …
Persistent link: https://www.econbiz.de/10009272067