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  1. Life insurance convexity
    Autor*in: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Erschienen: [2021]
    Verlag:  International Center for Insurance Regulation, Goethe University Frankfurt, [Frankfurt am Main]

    Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 379
    Fernleihe:
    keine Fernleihe

     

    Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we estimate that a 1 percentage point increase in interest rates raises surrender rates by 17 basis points. We quantify the resulting liquidity risk in a calibrated model of surrender decisions and insurance cash flows. Simulations predict that surrender options can force insurers to sell up to 3% of their assets, depressing asset prices by 90 basis points. The e↵ect is amplified by the duration of insurers' investments, and its impact on the term structure of interest rates depends on life insurers' investment strategy.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247672
    Schriftenreihe: ICIR working paper series ; no. 42 (2021)
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  2. Systematic liquidity risk premia
    Autor*in: Boyle, Glenn W.; Hong, Sanghyun
    Erschienen: [2020]
    Verlag:  Department of Economics and Finance, School of Business and Economics, University of Canterbury, Christchurch, New Zealand

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 92
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Department of Economics and Finance, School of Business and Economics, University of Canterbury ; no. 2020, 15
    Schlagworte: Liquidity Risk; Asset Pricing
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Life insurance convexity
    Autor*in: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Erschienen: March 2022
    Verlag:  ECONtribute, Bonn

    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 711
    Fernleihe:
    keine Fernleihe

     

    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life insurance sector. Using a calibrated model, we estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per annum. The resulting price impact depends on insurers' investment behavior. Forced asset sales are amplified by insurers' long-term investments but mitigated by reducing the guarantees on surrender values.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/262098
    Auflage/Ausgabe: This version: March 22, 2022
    Schriftenreihe: ECONtribute discussion paper ; no. 154
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  4. Liquidity derivatives
    Autor*in: Bagnara, Matteo; Jappelli, Ruggero
    Erschienen: [2022]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers.... mehr

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    It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to their bidask spreads. These contracts reduce the exposure to liquidity factors. Their prices provide a novel illiquidity measure reflecting cross-sectional commonalities. Finally, stock returns significantly spread along simulated prices.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/264583
    Schriftenreihe: SAFE working paper ; no. 358 (September 2022)
    Schlagworte: Asset Pricing; Market Liquidity; Liquidity Risk
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  5. Life insurance convexity
    Autor*in: Grochola, Nicolaus; Gründl, Helmut; Kubitza, Christian
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise... mehr

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    Verlag (kostenfrei)
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    Resolving-System (kostenfrei)

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we then estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per year. We show that these fire sales are fueled by surrender value guarantees and insurers' long-term investments.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289961141
    Weitere Identifier:
    hdl: 10419/278661
    Schriftenreihe: Working paper series / European Central Bank ; no 2829
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Surrender Options; Systemic Risk
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  6. Bank deposits and liquidity regulation
    evidence from Ethiopia
    Autor*in: Limodio, Nicola; Strobbe, Francesco
    Erschienen: [2017]
    Verlag:  IGIER, Università Bocconi, Milano, Italy

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: This version: September, 2017
    Schriftenreihe: Working paper series / IGIER ; n. 612
    Schlagworte: Banking; Liquidity Risk; Financial Development; Ethiopia
    Umfang: 1 Online-Ressource (circa 44 Seiten)