(Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity
نویسندگان
چکیده
منابع مشابه
The impact of systemic and illiquidity risk on financing with risky collateral
Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss...
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This paper shows how the intraday allocation and pricing of overnight loans of federal funds reflect the decentralized interbank market in which these loans are traded. A would-be borrower or lender typically finds a counterparty institution by direct bilateral contact. Once in contact, the two counterparties to a potential trade negotiate terms that reflect their incentives for borrowing or le...
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We model 1927–1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk analysis. First, a static an...
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Stress-related mucosal damage (SRMD) is a significant cause of morbidity and mortality in critically ill patients due to the gastrointestinal blood loss. Prophylaxis of SRMD with proton pump inhibitors or histamine-2 blockers has gained widespread use in intensive care units. Both demonstrated to be effective in reducing clinically significant bleedings, while PPIs has shown to exert some anti ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.3052167