Leverage, Liquidity and Crisis: A Simulation Study
نویسندگان
چکیده
منابع مشابه
a study on rate making and required reserves determination in reinsurance market: a simulation
reinsurance is widely recognized as an important instrument in the capital management of an insurance company as well as its risk management tool. this thesis is intended to determine premium rates for different types of reinsurance policies. also, given the fact that the reinsurance coverage of every company depends upon its reserves, so different types of reserves and the method of their calc...
Leverage in a Crisis
The He and Krishnamurthy models imply that the financial intermediary sector – measured broadly, and not just focused for example on hedge funds – has leverage that rises during crisis. The prediction is due to a mix of general equilibrium and corporate finance arguments. First, in the model, in general equilibrium the intermediary sector must retains the bulk of risk exposure from intermediate...
متن کاملWhat Is a Liquidity Crisis ?
This paper investigates the role of liquidity. It is argued that the firm holds money as a guarantee of solvency to its contractual partners. By holding liquid assets the firm is able to increase the efficiency of its contracts. Variations in the opportunity cost of holding money cause variations in the firm’s demand for money and consequent variations in the frequency of contract failures, Thi...
متن کاملLeverage and Liquidity Dry-ups: A Framework and Policy Implications
We model financial market liquidity as provided by financially constrained arbitrageurs. Market liquidity increases with the level of arbitrage capital, i.e., internal and external capital arbitrageurs can access frictionlessly. We show that liquidity dry-ups follow periods of low returns of arbitrageurs’ risky investment opportunities, and that liquidity is correlated across markets. A welfare...
متن کاملLeverage and the Financial Accelerator in a Liquidity Trap
The recent recession in the US saw an unusually large and persistent decline in output, low inflation and deflation, significant house price declines, and short term interest rates near zero. Much discussion of this episode has centered around financial markets and the high leverage positions at the onset of the recession. In this paper, we analyze the role of leverage in determining the proper...
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: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1973500