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Repo over the Financial Crisis
Copeland, Adam M.; Martin, Antoine - 2021
This paper uses new data to provide a comprehensive view of repo activity during the 2007-09 financial crisis for the first time. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, we find that a large share of the decline...
Persistent link: https://www.econbiz.de/10013310441
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Bankruptcy Exemption of Repo Markets : Too Much Today for Too Little Tomorrow?
Acharya, Viral V.; Anshuman, V. Ravi; Viswanathan, S. - National Bureau of Economic Research - 2024
aggregate risk …
Persistent link: https://www.econbiz.de/10014468227
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The importance of being special : repo markets during the crisis
Corradin, Stefano; Maddaloni, Angela - 2017
Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had...
Persistent link: https://www.econbiz.de/10011647833
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Systemic risk and the refinancing ratchet effect
Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009
, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …
Persistent link: https://www.econbiz.de/10003889053
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Risk-neutral systemic risk indicators
Malz, Allan Martin - 2013
This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …
Persistent link: https://www.econbiz.de/10009725591
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Measuring Macroprudential Risk : Financial Fragility Indexes
Tymoigne, Eric - 2011
risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …
Persistent link: https://www.econbiz.de/10013128524
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Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System
Cukierman, Alex - 2011
between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …
Persistent link: https://www.econbiz.de/10013122330
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Risk-Neutral Systemic Risk Indicators
Malz, Allan - 2013
This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …
Persistent link: https://www.econbiz.de/10013084190
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Uncertainty and Risk Management after the Great Moderation : The Role of Risk (Mis)Management by Financial Institutions
Blommestein, Hans J. - 2010
Persistent link: https://www.econbiz.de/10013150594
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When 'No News' is Bad News : Complexity and Uncertainty in the Global Crisis of 1914
Fohlin, Caroline - 2016
I use the global crisis of 1914 as a window onto the phenomenon of investor reaction to complex news — such as sudden political upheaval. Based on a novel database of all stocks traded on the NYSE during 1914, along with “real-time” news accounts from major newspapers, I show that NYSE...
Persistent link: https://www.econbiz.de/10012978570