liquidating illiquid collateral sciencedirect

liquidating illiquid collateral sciencedirect

Liquidating illiquid collateral - ScienceDirect

2014-1-1 · The shares of such illiquid collateral are significant, at least among some repo lenders. For example, Krishnamurthy et al. report that illiquid collateral such as private-label ABS or corporate bonds made up roughly 50 percent of the collateral accepted by securities lenders in the summer of 2007.

Liquidating illiquid collateral - ScienceDirect

Liquidating illiquid collateral ... 02.001 Get rights and content. Abstract. Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in ...

liquidating illiquid collateral sciencedirect

Liquidating illiquid collateral - ScienceDirect. The shares of such illiquid collateral are significant, at least among some repo lenders. For example, Krishnamurthy et al. report that illiquid collateral such as private-label ABS or corporate bonds made up roughly 50 percent of the collateral accepted by securities lenders in the summer of 2007.

Liquidating Illiquid Collateral - University of Minnesota

2014-9-15 · Liquidating Illiquid Collateral⁄ Martin Oehmkey Columbia University This version: December 2008 Abstract Defaults of flnancial institutions can cause large, disorderly asset liquidations. I model the dynamics of such liquidations as a continuous-time trading game, in which following

The impact of systemic and illiquidity ... - ScienceDirect

2015-1-1 · The first is the liquidity risk, i.e. the fact that the price obtained by the financier when liquidating the collateral in the case of borrower׳s default might be lower than the mark to market price at the time of liquidation. This is due to market impact and to the finite liquidity of markets.

Liquidating Illiquid Collateral | Request PDF

Article. Liquidating Illiquid Collateral. January 2013; Journal of Economic Theory 149(1)

Liquidating illiquid collateral - Research Papers in Economics

Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE

The collateral channel: Evidence on leverage and asset ...

Introduction. In this study, we consider how institutions relating to collateral affect the linkage between asset tangibility and leverage. Our reasoning is as follows: as property rights become more secure, creditors will be reassured, enhancing the ability of firms to obtain credit and either to finance additional tangible, fixed assets vis-à-vis highly liquid current assets, or to use ...

JET | Journal of Economic Theory - sciencedirect

Read the latest articles of Journal of Economic Theory at ScienceDirect, Elsevier’s leading platform of peer-reviewed scholarly literature

EconPapers: Liquidating illiquid collateral

2021-6-30 · Liquidating illiquid collateral. Martin Oehmke. Journal of Economic Theory, 2014, vol. 149, issue C, 183-210 . Abstract: Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in repo ...

(PDF) Liquidating illiquid collateral - ResearchGate

aggregate amount of collateral still held by the liquidating lenders at time t, and Y ( t) the. lenders’ aggregate trading rate at time t, which implies that dX ( t) = Y ( t) dt. 4 This means ...

Liquidating Illiquid Collateral | Request PDF

Article. Liquidating Illiquid Collateral. January 2013; Journal of Economic Theory 149(1)

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the expected payoff from liquidating the collateral asset. The model incorporates two realistic and economically important features into the analysis. First, the collateral asset is illiquid, re-flecting financial institutions’ increased reliance on illiquid collateral assets such as asset-backed or mortgage-backed securities in repo ...

EconPapers: Liquidating illiquid collateral

2021-6-30 · Liquidating illiquid collateral. Martin Oehmke. Journal of Economic Theory, 2014, vol. 149, issue C, 183-210 . Abstract: Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in repo ...

Liquidating illiquid collateral - LSE Research Online

2017-10-10 · Oehmke, Martin (2014) Liquidating illiquid collateral. Journal of Economic Theory, 149. pp. 183-210. ISSN 1095-7235

Martin Oehmke Liquidating illiquid collateral

2020-1-20 · Liquidating Illiquid Collateral Martin Oehmkey Abstract Defaults of nancial institutions can cause large, disorderly liquidations of repo col-lateral. This paper analyzes the dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the creditor structure in

CiteSeerX — Liquidating Illiquid Collateral

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Defaults of financial institutions can cause large, disorderly asset liquidations. I model the dynamics of such liquidations as a continuous-time trading game, in which following a default, balance-sheet constrained lenders unwind illiquid collateral positions. I show that (i) the equilibrium price of the collateral ...

Resultados da pesquisa - liquidation

Liquidating illiquid collateral. Autores: Oehmke, Martin 1 [email protected] Fonte: Journal of Economic Theory. Jan2014, Vol. 149, p183-210. 28p. Acesse o Texto Completo via ScienceDirect . Mostrar o Código QR ... Acesse o Texto Completo via ScienceDirect . Mostrar o Código QR.

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Liquidating illiquid collateral ScienceDirect. The shares of such illiquid collateral are significant, at least among some repo lenders. For example, Krishnamurthy et al. report that illiquid collateral such as private-label ABS or corporate bonds made up roughly 50 percent of the collateral accepted by securities lenders in the summer of 2007.

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CiteSeerX — Liquidating Illiquid Collateral

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Hedge fund defaults can cause large, disorderly liquidations in financial markets. I model the dynamics of such liquidations as a continuous-time trading game, in which balance-sheet constrained prime brokers unwind illiquid collateral positions. I show that: (i) the equilibrium price of the collateral asset ...

CiteSeerX — Liquidating illiquid collateral

BibTeX @ARTICLE{Oehmke_liquidatingilliquid, author = {Martin Oehmke and Markus Brunnermeier and Bruce Carlin and Julio Cacho-diaz and Sylvain Champonnois and Ing-haw Cheng and Florian Ederer and Alex Edmans and Ken Garbade and Zhiguo He and John Kambhu and Arvind Krishnamurthy and S. Vish Viswanathan and Wei Xiong}, title = {Liquidating illiquid collateral}, journal = {J. Econ. Theory}, year = {}}

Liquidating Illiquid Collateral by Martin Oehmke :: SSRN

2013-1-17 · Liquidating Illiquid Collateral. Journal of Economic Theory (2014), 149: 183-210. 40 Pages Posted: 11 Dec 2012 Last revised: 10 Dec 2015. See all articles by Martin Oehmke Martin Oehmke. London School of Economics & Political Science (LSE) - Department of Finance; Centre for Economic Policy Research (CEPR)

Liquidating illiquid collateral - Research Papers in Economics

Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE Library. Handle: RePEc:ehl:lserod:84518

Resultados da pesquisa - liquidation

Liquidating illiquid collateral. Autores: Oehmke, Martin 1 [email protected] Fonte: Journal of Economic Theory. Jan2014, Vol. 149, p183-210. 28p. Acesse o Texto Completo via ScienceDirect . Mostrar o Código QR ... Acesse o Texto Completo via ScienceDirect . Mostrar o Código QR.

The impact of illiquidity on the asset management of ...

Downloadable (with restrictions)! This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets. Using a cash-flow based liquidation model of an insurance company, we consider the effects of permanent and temporary price impact as well as commonality in price impact. Focusing on the interaction of a single large investor with the ...

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