The shadow costs of repos and bank liability structure

DOI10.1016/j.jedc.2016.01.004zbMath1401.91551OpenAlexW3125481723MaRDI QIDQ1656772

Santiago Moreno-Bromberg, Nataliya Klimenko

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/130216/1/Shadow_Costs_Repos.pdf

zbMATH Keywords

regulationbank financing structureliquid reservesreposrollover risk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• Firm behaviour under the threat of liquidation
• Bank Runs, Deposit Insurance, and Liquidity
• A Multiperiod Bank Run Model for Liquidity Risk*
• Endogenous Liquidity and Defaultable Bonds
• Optimization of the flow of dividends
• Monetary Policy as Financial Stability Regulation

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