The impact of systemic and illiquidity risk on financing with risky collateral

DOI10.1016/J.JEDC.2014.07.004MaRDI QIDQ1623973zbMATHOpenAlexFDO

Authors Fabrizio Lillo, Davide Pirino

Publication date 15 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.07.004

zbMATH Keywords

reposystemic riskilliquidityliquidationhaircutportfolio overlap

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Collateralized Borrowing and Default Risk
• Systemic risk and interbank lending
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• Where the risks lie: a survey on systemic risk
• Credit markets with moral hazard and heterogeneous valuations of collateral

Cites work

• Continuous Auctions and Insider Trading
• Fire sales forensics: measuring endogenous risk
• Leverage causes fat tails and clustered volatility
• Liquidating illiquid collateral
• Market procyclicality and systemic risk
• Price Manipulation and Quasi-Arbitrage
• The Distribution of Products of Beta, Gamma and Gaussian Random Variables
• What really causes large price changes?
• When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification

Cited in

(8)

• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• The shadow costs of repos and bank liability structure
• Collateralized Borrowing and Default Risk
• When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• The impact of CoCo bonds on systemic risk considering liquidity risk
• Reconstructing and stress testing credit networks
• Central bank haircut policy

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