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The fragility of short-term secured funding markets

Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - 2013

This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct...

Persistent link: https://www.econbiz.de/10010200411

The fragility of short-term secured funding markets

Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - 2013

This paper develops a model of financial institutions that borrow short term and invest in longterm assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity,...

Persistent link: https://www.econbiz.de/10010201349

The risk of fire sales in the tri-party repo market

Begalle, Brian; Martin, Antoine; McAndrews, James; … - Federal Reserve Bank of New York - 2013

This paper studies the risk of "fire sales" in the tri-party repo market, a large and important market where securities … sales of assets by a dealer who, facing a run that could lead to default, sells securities to generate liquidity, and fire …

Persistent link: https://www.econbiz.de/10010659550

Securities lending

Lipson, Paul C.; Sabel, Bradley K.; Keane, Frank M. - Federal Reserve Bank of New York - 2012

.S. securities markets, examines loans of Treasury and agency securities in the domestic market. It highlights some important … institutional characteristics of securities loan transactions, in particular the common use of agents to arrange the terms of the … loans. While we note that this characteristic sets securities lending apart from most repurchase agreement (repo …

Persistent link: https://www.econbiz.de/10011027200

Securities finance : securities lending and repurchase agreements

Fabozzi, Frank J. (contributor) - 2005

Persistent link: https://www.econbiz.de/10004832433

Repo runs

Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - Federal Reserve Bank of New York - 2010

This paper develops a model of financial institutions that borrow short-term and invest in long-term marketable assets. Because these financial intermediaries perform maturity transformation, they may be vulnerable to runs. We endogenize the profits of an intermediary and derive distinct...

Persistent link: https://www.econbiz.de/10008486853