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Working Paper
Household, Bank, and Insurer Exposure to Miami Hurricanes: a flow-of-risk analysis
Dennis, Benjamin
(2023-02-13)
We analyze possible future financial losses in the event of hurricane damage to Miami residential real estate, where the hurricane's destructiveness reflects climate-change. We focus on three scenarios: (i) a business-as-usual scenario, (ii) a Hurricane-Ian-spillovers scenario, and (iii) a cautious-markets scenario. We quantify bank exposures and loss rates, where exposures are proportional to the size of real estate markets and loss rates depend on post-hurricane devaluations and insurance coverage. This quantitative methodology could complement modeling of local economy impacts, stress ...
Finance and Economics Discussion Series
, Paper 2023-013
Working Paper
The Collateral Premium and Levered Safe-Asset Production
Ross, Chase P.
(2022-07-12)
Banks are vital suppliers of money-like safe assets, which they produce by issuing short-term liabilities and pledging collateral. But their ability to create safe assets varies over time as leverage constraints fluctuate. I present a model to describe private safe-asset production when intermediaries face leverage constraints. I measure bank leverage constraints using bank-intermediated basis trades. The collateral premium — a strategy long Treasuries used more often as repo collateral and short Treasuries used less often — has a positive expected return of 22 basis points per ...
Finance and Economics Discussion Series
, Paper 2022-046
Working Paper
Collateralized Debt Networks with Lender Default
Chang, Jin-Wook
(2019-11-26)
The Lehman Brothers' 2008 bankruptcy spread losses to its counterparties even when Lehman was a lender of cash, because collateral for that lending was tied up in the bankruptcy process. I study the implications of such lender default using a general equilibrium network model featuring endogenous leverage, endogenous asset prices, and endogenous network formation. The multiplex graph model has two channels of contagion: a counterparty channel of contagion and a price channel of contagion through endogenous collateral price. Borrowers diversify their lenders because of the counterparty risk, ...
Finance and Economics Discussion Series
, Paper 2019-083
Working Paper
Measuring the Liquidity Profile of Mutual Funds
Zer, Ilknur; Scotti, Chiara; Aramonte, Sirio
(2019-07)
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three relevant market events: Bill Gross's departure from PIMCO, Third Avenue Focused Credit Fund's suspension of redemptions, and the effect of Lehman Brothers' collapse on Neuberger Berman. Results show that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, ...
Finance and Economics Discussion Series
, Paper 2019-055
Working Paper
Bank regulation under fire sale externalities
Kara, Gazi I.; Ozsoy, S. Mehmet
(2016-03)
This paper examines the optimal design of and interaction between capital and liquidity regulations in a model characterized by fire sale externalities. In the model, banks can insure against potential liquidity shocks by hoarding sufficient precautionary liquid assets. However, it is never optimal to fully insure, so realized liquidity shocks trigger an asset fire sale. Banks, not internalizing the fire sale externality, overinvest in the risky asset and underinvest in the liquid asset in the unregulated competitive equilibrium. Capital requirements can lead to less severe fire sales by ...
Finance and Economics Discussion Series
, Paper 2016-026
Journal Article
Stability of funding models: an analytical framework
Yorulmazer, Tanju; Eisenbach, Thomas M.; McAndrews, James J.; Keister, Todd
(2014-02)
With the recent financial crisis, many financial intermediaries experienced strains created by declining asset values and a loss of funding sources. In reviewing these stress events, one notices that some arrangements appear to have been more stable?that is, better able to withstand shocks to their asset values and/or funding sources?than others. Because the precise determinants of this stability are not well understood, gaining a better grasp of them is a critical task for market participants and policymakers as they try to design more resilient arrangements and improve financial regulation. ...
Economic Policy Review
, Issue Feb
, Pages 29-47
Report
A general approach to integrated risk management with skewed, fat-tailed risks
Rosenberg, Joshua V.; Schuermann, Til
(2004-05-01)
The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this paper, we use the method of copulas to construct the joint risk distribution for a typical large, internationally active bank. This technique allows us to incorporate realistic marginal distributions that capture some of the essential empirical features of these risks-such as skewness and fat ...
Staff Reports
, Paper 185
Working Paper
The Conundrum of Zero APR: An Analytical Framework
Drozd, Lukasz A.; Kowalik, Michal
(2023-03-13)
We document the prevalence of promotional pricing of credit card debt in the U.S. and develop an analytic framework to study how interest rates on multiperiod credit line contracts should be set when debt is unsecured and defaultable. We show that according to the basic theory of unsecured credit — suitably extended to allow for promotions — interest rates should price in the expected default risk on a period-by-period basis. The inspection of our model’s mechanism implies that time-consistent consumption behavior is crucial for this result; accordingly, modeling time-inconsistent ...
Working Papers
, Paper 23-06
Report
Repo and securities lending
Martin, Antoine; Begalle, Brian; Adrian, Tobias; Copeland, Adam
(2012-12-01)
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
Staff Reports
, Paper 529
Working Paper
Credit risk modeling in segmented portfolios: an application to credit cards
Canals-Cerda, Jose J.; Kerr, Sougata
(2015-02-01)
The Great Recession offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We focus on the performance of models of credit risk applied to risk-segmented credit card portfolios. Specifically, we focus on models of default and loss and analyze three important sources of model risk: model selection, model specification, and sample selection. Forecast errors can be significant along any of these three model-risk dimensions. Simple linear regression models are not generally outperformed by more complex or stylized models. The impact of ...
Working Papers
, Paper 15-8
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banking linkages 1 items
behavioral finance 1 items
big data 1 items
business complexity 1 items
cash payments 1 items
cashless society 1 items
causation 1 items
climate 1 items
collaboration 1 items
commercial banks 1 items
community development 1 items
complex banks 1 items
complexity 1 items
compliance 1 items
concentration 1 items
congestion 1 items
conglomeration 1 items
consumers 1 items
context 1 items
contract enforcement 1 items
copula 1 items
corporate bonds 1 items
corporate governance 1 items
corporate loans 1 items
costly state verification 1 items
counterparty credit risk 1 items
credit 1 items
credit access 1 items
credit constraints 1 items
credit cycles 1 items
credit unions 1 items
creditor rights 1 items
crowdfunding 1 items
cultural failure 1 items
culture 1 items
culture problem 1 items
daily rebalancing 1 items
data visualization 1 items
dealer time 1 items
debt run 1 items
debt structure 1 items
deferred compensation 1 items
depersonalization 1 items
deposit 1 items
deposits 1 items
economies of scale 1 items
electronic payments 1 items
employment 1 items
endogenous intermediation 1 items
engagement 1 items
ethical failure 1 items
ethics 1 items
exchange-traded funds 1 items
explicit regulations 1 items
fails charge 1 items
federal funds 1 items
financial architecture 1 items
financial constraints 1 items
financial dependence 1 items
financial deregulation 1 items
financial frictions 1 items
financial innovations 1 items
financial intermediation 1 items
financial risk 1 items
financial sector debt 1 items
fines 1 items
fintech 1 items
fire sale externality 1 items
fire-sale externalities 1 items
firm performance 1 items
flood maps 1 items
flood risk 1 items
foreign exchange interventions 1 items
foreign exchange reserves 1 items
funding cost 1 items
global banks 1 items
global financial cycle 1 items
global imbalances 1 items
hedging 1 items
heterogeneous agents 1 items
home bias 1 items
homeownership 1 items
household finance 1 items
implicit codes of conduct 1 items
incentives 1 items
inclusion effects 1 items
index investing 1 items
indexing 1 items
informal bankruptcy 1 items
information technology 1 items
information-insensitive assets 1 items
insider trading 1 items
insurance companies 1 items
intermediation 1 items
international portfolio choice 1 items
large banks 1 items
lasso selection methods 1 items
law and finance 1 items
leverage limits 1 items
leveraged and inverse exchange-traded products 1 items
limit order book distribution 1 items
linkage 1 items
liquidity regulations 1 items
liquidity shocks 1 items
loan performance 1 items
loan terms 1 items
local banking 1 items
machine learning 1 items
macro-finance 1 items
macroprudential regulations 1 items
margin 1 items
market discipline 1 items
market risk 1 items
market run 1 items
market volatility 1 items
maturity 1 items
messy failures 1 items
minimum market size for stability 1 items
misconduct 1 items
monetary policy implementation 1 items
monetary policy transmission 1 items
money market funds (MMFs) 1 items
moral hazard 1 items
mortgage lending 1 items
municipal bond 1 items
municipal bonds 1 items
mutual funds 1 items
natural disasters 1 items
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