首页> 外文OA文献 >Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
【2h】

Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

机译:量化资金市场中的传染风险:基于模型的压力测试方法

代理获取
本网站仅为用户提供外文OA文献查询和代理获取服务,本网站没有原文。下单后我们将采用程序或人工为您竭诚获取高质量的原文,但由于OA文献来源多样且变更频繁,仍可能出现获取不到、文献不完整或与标题不符等情况,如果获取不到我们将提供退款服务。请知悉。

摘要

We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection in the secondary market for the bank's assets interact, leading to a vicious cycle that can drive otherwise solvent banks to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which exacerbates the incidence of runs by creditors. This, in turn, makes investors more pessimistic, driving down other banks' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise.
机译:我们提出了一个易于处理的,基于模型的压力测试框架,该框架将银行的偿付能力风险,融资流动性风险和市场风险交织在一起。我们着重介绍了银行债权人之间的协调失灵与二级市场中银行资产的逆向选择之间的相互作用,如何导致恶性循环,而恶性循环又可能驱使银行陷入流动性不足。投资者对银行资产质量的悲观情绪降低了银行对流动性的追索权,这加剧了债权人挤兑的可能性。反过来,这使投资者更加悲观,从而压低了其他银行的流动性。我们在校准的压力测试练习中说明了这些动态。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号