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Liquidity Backstop, Corporate Borrowings, and Real Effects

Gao, Pengjie - 2013

This research investigates the real effects of public liquidity provision. Using the Commercial Paper Funding Facility … short-term profitability. We find liquidity spillover effects from CPFF-eligible firms to their customers through the …

Persistent link: https://www.econbiz.de/10013091356

Financial Amplification Mechanisms and the Federal Reserve's Supply of Liquidity During the Crisis

Sarkar, Asani - 2014

's interventions during different stages of the crisis in light of this literature. We interpret the Fed's early-stage liquidity … empirical evidence that increases in the Federal Reserve's liquidity supply reduce interest rates during periods of high … liquidity risk. Our analysis has implications for the impact on market prices of a potential withdrawal of liquidity supply by …

Persistent link: https://www.econbiz.de/10013069263

Non-Performing Loans : Logit Model Applications

Orlando, Giuseppe - 2020

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply risk-taking is physiological, as for a lot of human activities. Among risks related to credit inter-mediation, credit risk assumes particular importance. It is most simply defined as...

Persistent link: https://www.econbiz.de/10012825265

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

An Economic Examination of Collateralization in Different Financial Markets

Xiao, Tim - 2019

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization...

Persistent link: https://www.econbiz.de/10012030010

Incremental Risk Charge Methodology

Xiao, Tim - 2019

integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be … subportfolios with different liquidity horizons is addressed. Moreover, the methodology for equity is also included, even though it …

Persistent link: https://www.econbiz.de/10012051408

Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization

Xiao, Tim - 2018

This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk of the buyer, seller and reference entity. We show that default...

Persistent link: https://www.econbiz.de/10012054943

The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

Xiao, Tim - 2017

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk … the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread. …

Persistent link: https://www.econbiz.de/10012061521

The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Xiao, Tim - 2019

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...

Persistent link: https://www.econbiz.de/10012100406

The Failure of Northern Rock: A multi-dimensional Case Study

Congdon, Tim; Goodhart, Charles A.E.; Eisenbeis, Robert A. - 2009

In August 2007 the United Kingdom experienced its first bank run in over 140 years. Although Northern Rock was not a particularly large bank (it was at the time ranked 7th in terms of assets) it was nevertheless a significant retail bank and a substantial mortgage lender. In fact, ten years...

Persistent link: https://www.econbiz.de/10011689937