The shadow costs of repos and bank liability structure

DOI10.1016/J.JEDC.2016.01.004MaRDI QIDQ1656772zbMATH OpenOpenAlexFDO

Authors Nataliya Klimenko, Santiago Moreno-Bromberg

Publication date 10 August 2018

Published in Journal of Economic Dynamics and 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

bank financing structureliquid reservesregulationreposrollover risk

Mathematics Subject Classification ID

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

Recommendations

• Liquidating illiquid collateral
• Banking and shadow banking
• The impact of systemic and illiquidity risk on financing with risky collateral
• Optimal liquidity policy with shadow banking
• The financial crisis and the shadow price of bank capital

Cites work

• A multiperiod bank run model for liquidity risk
• Bank Runs, Deposit Insurance, and Liquidity
• Endogenous Liquidity and Defaultable Bonds
• Firm behaviour under the threat of liquidation
• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Monetary policy as financial stability regulation
• Optimization of the flow of dividends
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM

Cited in

(3)

• The financial crisis and the shadow price of bank capital
• Cash out or carry on: when bank runs build resilience
• Bank liability structure under capital requirements in a regime-switching framework

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