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Shock amplification in an interconnected financial system of banks and investment funds

Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021

shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock …

Persistent link: https://www.econbiz.de/10012603035

Sources of funding in a crisis : evidence from investment banks

Helwege, Jean; Jindra, Jan - In: The Quarterly Journal of Finance : QJF 13 (2023) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10014442295

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

welldocumented flow-performance relationship as an additional funding shock in the model of Greenwood et al. (2015), where systemic … funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Persistent link: https://www.econbiz.de/10011740280

Connected funds

Fricke, Daniel; Wilke, Hannes - 2020

Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...