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1 - 10 van 35 voor liquidity risk
Microsoft Word - discussion164.doc
... 'capital and asset risk'. in the second factor, variables related to market risk and liquidity risk score high so we call this factor 'liquidity and market risk'. the correlation between the two factors is only 0.28, suggesting that both factors measure a different dimension of banking risk. the risk ...
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Microsoft Word - cpbdoc210.doc
... to withdraw cash to spend on consumption in another region. as a consequence, banks run liquidity risk because they can suddenly be confronted with large cash withdrawals. interbank credit lines allow banks ... bad times. heider et al. (2008) focus on the credit risk problem due to asymmetric information about counterparty risk. if banks face liquidity shocks as well as shocks to the quality of their ...
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Microsoft Word - voorblad.docx
... ) posited that some uninformed traders buy and sell for exogenous reasons, such as liquidity needs; these are called liquidity traders. 5 the noise that these traders introduce into the price formation process ... income tax). 21 references acharya, v.v. and l.h. pedersen, 2005, asset pricing with liquidity risk, journal of financial economics, vol. 77, pp. 375-410. baltagi, b, d. li, and q ...
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Flexibility, Dualism and the Great Recession
... what happens when a highly leveraged firm experiences a financial shock and liquidity is suddenly pulled back? the lack of liquidity can force firms to liquidate projects as well as jobs, thus ... and mobility (real estate investment) during a financial crisis, real estate prices drop, workers face risk of negative equity and mobility is reduced this mobility effect of finance can increase ...
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analyzing labour supply elderly people life cycle approach pdf
... rates often retire at 62, the early entitlement age. some of these individuals are liquidity constrained and simply cannot afford to retire before the social security benefits become available. ... by government welfare programs, stochastic processes for earnings and asset returns, layoff risk, job offer risk, health risk, and mortality risk. ex ante, agents are the same, ex post, agents differ due ...
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Athena
... behave as in life-cycle theory, but some consumers are liquidity constrained. in the last block, the public sector (government, social ... the (quasi-)fixed production factors in the baseyear and the risk premium are determined. 2.3 labour market 2.3.1 ... fractions of wage earners and transfer income recipients that are liquidity- constrained. the fraction consists of two components. the first ...
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analysis individual accounts unemployment risk netherlands pdf
... liquidity constraints costs of insurance benefits of insurance 30 4.2.1 consumption smoothing 30 4.2.2 studies on the importance of liquidity constraints 31 5 a lifecycle model with unemployment risk ... and uisa in a lifecycle model with unemployment risk. the model is calibrated to dutch data and pays special attention to the role of liquidity constraints. this document has benefited from comments ...
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Centraal Economisch Plan 2011
... op kort overheidspapier (de t-bill eurodollar spread ofwel ted-spread een maatstaf voor counterparty risk) huizenhoog op. door het wantrouwen tussen de banken kwam de onderlinge kredietverlening tot stilstand. ... not expensive, stanford gsb research paper 2065. dnb, 2010, macro-effects of higher capital and liquidity reguirements for banks, dnb, occasional study nr 3, 2010. bijlsma, m.j. en zwart, g ...
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dp175 systemic risk across sectors pdf
... since a few years. furthermore, cds spreads are sensitive to changes in perceived counterparty risk, and the liquidity of cds markets may be limited. this means that movements in cds spreads are ... ) the larger tail dependencies in the banking sector imply that tail risk of common risk factors, such as market risk or interest rate risk, plays a relatively large role in this sector. this may ...
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dp209.indd
... risk of a normal crisis, total private liquidity decreases by n - n on date one. if the crisis indeed occurs, then the injection of public liquidity ... risk-free debt, and for risky debt. the creditors (the funds with extra liquidity) are risk ...
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