Fear of Fire Sales, Illiquidity Seeking, and Credit Freezes *

Illiquidity Component of Credit Risk∗

We describe and contrast three different measures of an institution’s credit risk. “Insolvency risk” is the conditional probability of default due to deterioration of asset quality if there is no run by short term creditors. “Total credit risk” is the unconditional probability of default, either because of a (short term) creditor run or (long run) asset insolvency. “Illiquidity risk”is the diff...

SELF - FULFILLING CREDIT MARKET FREEZES Lucian

the study of practical and theoretical foundation of credit risk and its coverage

پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...

Capital stock management during a recession that freezes credit markets

This paper considers the problem of how to price a conspicuous product while maintaining liquidity during a recession, which both reduces demand and freezes credit markets. Reducing price would help maintain cash flow, but low prices can erode brand image and, hence, long-term sales. The paper extends earlier work of the same authors by explicitly deriving a firm’s optimal cash management behav...

Cournot Fire Sales

In standardWalrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is sufficiently scarce, Cour...