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 …

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …

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 …

sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across …

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … funding pressure for banks, but did not help to contain sovereign risk. In fact, banks of the peripheral countries used the … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run …

captures three effects: (1) the effectiveness of the haircut policy, (2) CCP member default risk (conditional on sovereign … default) and (3) CCP default risk (conditional on both sovereign and CCP member default). The data show that, during the … sovereign debt crisis of 2011, repo rates strongly respond to movements in sovereign risk, in particular for GIIPS countries …