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(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Glaser, Florian; Panz, Sven - 2016

a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress …

Persistent link: https://www.econbiz.de/10011975294

Firm equity risk, bank lending standards, and the macroeconomy

Nguyen, Hien - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of banks tightening their lending standards on commercial...

Persistent link: https://www.econbiz.de/10013462030

Toward a unified framework of credit creation

Becke, Susanne von der; Sornette, Didier - 2014

contraction in credit and to liquidity spirals. Subsequent measures by policymakers can be interpreted as attempts to avoid …

Persistent link: https://www.econbiz.de/10010337985

Secured Credit Spreads and the Issuance of Secured Debt

Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram G. - 2020

We show that after accounting for selection, credit spreads for secured debt issuances are lower than for unsecured debt issuances, especially when a firm’s credit quality deteriorates, the economy slows, or average credit spreads widen. Yet firms tend to be reluctant to issue secured debt...

Persistent link: https://www.econbiz.de/10014352315

The bank-sovereign loop and financial stability in the Euro area

Fontana, Alessandro; Langedijk, Sven - 2019

We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy options to address this 'doom loop' in which the government may need to raise debt to recapitalise banks, and an increase in government debt raises sovereign risk and in turn...

Persistent link: https://www.econbiz.de/10012053254

Liquidity Constraints, Risk Premia, and the Macroeconomic Effects of Liquidity Shocks

Jaccard, Ivan - 2013

We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are … subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the … stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity …

Persistent link: https://www.econbiz.de/10013086095

Restructuring Counterparty Credit Risk

Albanese, Claudio - 2016

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

Persistent link: https://www.econbiz.de/10012988783

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013

Persistent link: https://www.econbiz.de/10009739564

Co-Operative Credit Delinquency : Identification of Factors Discriminating Defaulters

Michael, Justin Nelson - 2011

Co-operative movement dawned in India a century ago to eradicate indebtedness and to accelerate agricultural production in India. Co-operatives are eminently suited to achieve social, economic changes in rural India. However, credit risk is acute in co-operative credit system, predominantly...

Persistent link: https://www.econbiz.de/10013130618

Bank Credit and Default in Infinite Horizon

Goodhart, Charles - 2019

have procyclical effects; third, that monetary policy is more effective when the economy is more liquidity-constrained; and …

Persistent link: https://www.econbiz.de/10012858964