東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Counterparty Risk and Repo Runs.

Wang, Yiyao.

FindBook

Google Book

Amazon

博客來

Counterparty Risk and Repo Runs.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Counterparty Risk and Repo Runs./
作者:	Wang, Yiyao.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
面頁冊數:	79 p.
附註:	Source: Dissertations Abstracts International, Volume: 81-03, Section: A.
Contained By:	Dissertations Abstracts International81-03A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13878577
ISBN:	9781085629256

Counterparty Risk and Repo Runs.
Wang, Yiyao.

Counterparty Risk and Repo Runs. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 79 p.

Source: Dissertations Abstracts International, Volume: 81-03, Section: A.

Thesis (Ph.D.)--The University of Chicago, 2019.

This item must not be sold to any third party vendors.

I develop a model in which banks finance the purchase of risky assets by borrowing against the assets as collateral through repurchase agreements (repos). Due to limited liability, banks with impaired balance sheets have incentives to build up leveraged positions that generate positive default risk. Averse to the risk of counterparty default, lenders set the amount of repo funding to deter banks from taking excessive leverage. Consequently, the amount of repo funding depends not only on the uncertainty in collateral value but also on the borrower's balance sheet strength. The model generates positive feedback between asset price and repo funding: a decrease in asset price caused by an initial tightening of the funding market can further depress repo funding through increasing banks' incentives for taking excessive leverage. As a result, a small deterioration of banks' balance sheets can generate large decreases in repo funding and asset prices. According to the model, a countercyclical capital buffer can increase the stability of repo funding, whereas a minimum margin requirement can be ineffective in reducing the risk of a market-wide funding squeeze.

ISBN: 9781085629256Subjects--Topical Terms:

542899
Finance.

Counterparty Risk and Repo Runs.
LDR:02129nmm a2200313 4500 001 2265062
005 20200514111044.5
008 220629s2019 ||||||||||||||||| ||eng d
020 $a 9781085629256
035 $a (MiAaPQ)AAI13878577
035 $a AAI13878577
040 $a MiAaPQ $c MiAaPQ
100 1 $a Wang, Yiyao. $3 3542213
245 1 0 $a Counterparty Risk and Repo Runs.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 79 p.
500 $a Source: Dissertations Abstracts International, Volume: 81-03, Section: A.
500 $a Advisor: Diamond, Douglas W.
502 $a Thesis (Ph.D.)--The University of Chicago, 2019.
506 $a This item must not be sold to any third party vendors.
520 $a I develop a model in which banks finance the purchase of risky assets by borrowing against the assets as collateral through repurchase agreements (repos). Due to limited liability, banks with impaired balance sheets have incentives to build up leveraged positions that generate positive default risk. Averse to the risk of counterparty default, lenders set the amount of repo funding to deter banks from taking excessive leverage. Consequently, the amount of repo funding depends not only on the uncertainty in collateral value but also on the borrower's balance sheet strength. The model generates positive feedback between asset price and repo funding: a decrease in asset price caused by an initial tightening of the funding market can further depress repo funding through increasing banks' incentives for taking excessive leverage. As a result, a small deterioration of banks' balance sheets can generate large decreases in repo funding and asset prices. According to the model, a countercyclical capital buffer can increase the stability of repo funding, whereas a minimum margin requirement can be ineffective in reducing the risk of a market-wide funding squeeze.
590 $a School code: 0330.
650 4 $a Finance. $3 542899
650 4 $a Economics. $3 517137
650 4 $a Banking. $2 bicssc $3 1557594
690 $a 0508
690 $a 0501
690 $a 0770
710 2 $a The University of Chicago. $b Business and Economics. $3 2098350
773 0 $t Dissertations Abstracts International $g 81-03A.
790 $a 0330
791 $a Ph.D.
792 $a 2019
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13878577