منابع مشابه
Regulation of Systemic Liquidity Risk
The paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long term projects. In the prevailing mixed strategy equilibrium the allocation is inferior from the investor’s point of view since some banks free-ride on the liquidity provision as a result of limited liability. The paper compares...
متن کاملSystemic Funding Liquidity Risk and Bank Failures
We examine the roles of idiosyncratic and systemic funding liquidity risks in bank failures. We estimate a discrete-time hazard model of bank failure using data of U.S. commercial banks between 1985 and 2004, and examine its out-of-sample forecasting performance between 2005 and 2011. The out-of-sample performance comparison shows this model outperforms typical bank failure prediction models. W...
متن کاملBank Capital , Liquidity and Systemic Risk ∗
We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity management and an insolvency mechanism. This allows us to study the impact of capital adequacy regulation...
متن کاملCorporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies
We present a dynamic structural model of integrated risk management that incorporates several motivations for managing risk. Risk management is enabled through a coordination of operating flexibility, liquidity management, and derivatives hedging policies. We analyze the value created by such integrated risk management strategies, and disintegrate this value in several ways to separate out the ...
متن کاملThe Dark Side of Liquidity Creation: Leverage and Systemic Risk
This paper exposes a fundamental tension between the micro-prudential objective of subjecting banks to greater discipline through debt markets and the macro-prudential objective of containing systemic risk. We show that banks are illiquid due to the inability of bankers to credibly pre-commit to asset choices. Bank debt can reduce this illiquidity by disciplining bankers with the threat of prem...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Intermediation
سال: 2018
ISSN: 1042-9573
DOI: 10.1016/j.jfi.2017.08.005