Risk and Liquidity in a System Context∗
نویسنده
چکیده
This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting. It is possible for spreads to fall as debts rise, as debt-fuelled increases in asset prices and stronger balance sheets reinforce each other. Conversely, it is possible that de-leveraging leads to increases in spreads, as is often observed during crises. ∗Paper presented at the BIS conference on “Accounting, Risk Management and Prudential Regulation”. I thank the discussants Mauro Grande and Dick Herring and other participants at the conference for their comments. I also thank Gara Minguez-Afonso for stimulating discussions on this topic.
منابع مشابه
Measuring Liquidity Risk Management and Impact on Bank Performance in Iran
A bank as a business units needs to have liquid assets which can be easily converted into cash at short notice. Thus the concept of liquidity risk management is important for any commercial banks. The impact of liquidity position in management of banks have remained significant, though very elusive in the process of investment analysis vis-à-vis bank portfolio management. In addition, liquidity...
متن کاملEffects Of Risk Parameters (Credit, Operational, Liquidity And Market Risk) On Banking System Efficiency (Studying 15 Top Banks In Iran)
متن کامل
The Role of Regulation in Banking: Liquidity Risk Perspective
The liquidity crisis in 2008 sparked interest in the role of regulation that could promote resilience and stability in the banking system. While the Public Interest theory suggests that legal policies could discipline banking activities, the Private Interest theory predicts otherwise, which impairs banking performance. The conflicting theories warrant comprehensive research, especially for Isla...
متن کاملThe Effect of Liquidity and Efficiency on Credit Risk of Development Banks
The financial system has an important role in health, growth and success of the country. Financial institutions include financial markets and institutions, as intermediary institutions, play an effective role in supply, Equipping and allocating of financial resources. Recent crises in the country's banking system have become a national challenge due to increased outstanding claims and liquidity...
متن کاملThe effect of wage growth caused by stock market liquidity on income inequality and poverty in developed and developed countries
One of the significant incentives of the investors to enter the capital market is to earn profits and finally increase wealth. However, one of the most important concerns of the investors while investing in the stock market is the liquidity of the stocks. Thus, the high liquidity of the stock market reduces the risk of non-liquidity of the stock, as well as reduces the cost of capital accumulat...
متن کاملSimultaneous Effect of Liquidity Risk and Credit Risk on the Stability of Banks that Accepted in Tehran Stock Exchange
Banks are an essential elements of the financial discipline in many countries, and as financial intermediaries, they play a crucial role in achieving the growth and financial development of each state. Banking industry development and its efficiency can also lead to long-term economic growth and on the contrary, lack of banking network development may cause a decline in economic growth. Regar...
متن کامل