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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …
Persistent link: https://www.econbiz.de/10009230899
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A Model of a Systemic Bank Run
Uhlig, Harald - 2010
This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focusing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: In distress,...
Persistent link: https://www.econbiz.de/10013149338
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Personal Ethics & the U.S. Financial Collapse of 2007-08
Trautman, Lawrence J. - 2017
The seeds for the 2007-09 financial collapse were sewn over many years and nurtured by ill-advised governmental housing policy, the presence of pervasive fraud both large and small and the widespread failure of personal integrity. A chronology of bad choices made by individuals and the...
Persistent link: https://www.econbiz.de/10012972692
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Determinants of structured finance issuance : a cross-country comparison
Schuetz, Sebastian A. - 2011 - This version: February 2011
credit risk transfer instrument and to increase performance, while European originators focus on regulatory capital arbitrage …. -- regulatory arbitrage ; securitization ; subprime crisis ; ABS ; credit risk transfer ; Basel III ; liquidity …
Persistent link: https://www.econbiz.de/10008907723
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How smart are investors after the subprime mortgage crisis? : evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
, we find that investors require a significantly higher risk premium when there is a high degree of asymmetric information … discriminate between information sensitive and information insensitive tranches, beyond that they rely on their own risk analysis …
Persistent link: https://www.econbiz.de/10009569587
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How Do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007
Acharya, Viral V. - 2013
syndicated loan packages denominated in dollars. The results point to a funding risk in global banking, manifesting as currency …
Persistent link: https://www.econbiz.de/10013077991
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How do global banks scramble for liquidity? : evidence from the asset-backed commercial paper freeze of 2007
Acharya, Viral V.; Afonso, Gara; Kovner, Anna - 2013
syndicated loan packages denominated in dollars. The results point to a funding risk in global banking, manifesting as currency …
Persistent link: https://www.econbiz.de/10009781869
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A Dynamic Model of Systemic Bank Runs
Liu, Xuewen - 2019
This paper develops a tractable dynamic model to study bank runs in a financial system, featuring the linkage between bank runs and asset market prices. The model speaks to the evolution of a systemic crisis. In our model economy, there are many banks and they share a common asset market. The...
Persistent link: https://www.econbiz.de/10012871966
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When Safe Became Risky : the Information Sensitivity of Subprime RMBS during the Financial Crisis of 2007-2009
Narayanan, Rajesh; Rhodes, Meredith E. - 2022
Subprime securitizations were designed to produce safe AAA bonds by insulating them from the risks associated with the underlying mortgages. Yet, they became risky during the financial crisis of 2007-2009. We provide evidence that following the decline in the ABX indices which signaled emerging...
Persistent link: https://www.econbiz.de/10013297335
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Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)
Loris, André; Grept, Alice; Laut, Nadia; Plantier, Gabriel - 2023
This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …
Persistent link: https://www.econbiz.de/10014258296