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Displaying results 1 to 9 of 9.

  1. The impact of ex ante regulations and ex post interventions on bank lending and solvency
    Author: Bachmann, Manuel
    Published: August 2018
    Publisher:  Vienna University of Economics and Business, Wien

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 257 (269)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics working paper / Vienna University of Economics and Business ; no. 269
    Subjects: Fire Sales; Collateralized Financing; Troubled Asset Purchases; Capital Injections; Leverage Requirements; Lending; Solvency
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  2. Fire sales and bank runs in the presence of a saving allocation by depositors
    Author: Arquié, Axelle
    Published: 2023
    Publisher:  CEPII, Paris

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1686
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEPII working paper ; no. 2023-09 (March 2023)
    Subjects: Fire Sales; Liquidity ratios; Bank Run; Saving Allocation
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  3. Fire sales and ex ante valuation of systemic risk
    a financial equilibrium networks approach
    Author: Bougheas, Spiros P.; Spencer, Adam Hal
    Published: November 2022
    Publisher:  National Institute of Economic and Social Research, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 538
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NIESR discussion paper ; no. 544 (28 November 2022)
    Subjects: Networks; Fire Sales; Systemic Risk Premia; Risk Assessment
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  4. Conflicting fiduciary duties and fire sales of VC-backed start-ups
    Author: Bian, Bo; Li, Yingxiang; Nigro, Casimiro A.
    Published: [2022]
    Publisher:  DFG Center for Advanced Studies on the Foundations of Law and Finance, House of Finance, Goethe University, Frankfurt am Main, Germany

    This paper studies the interactions between corporate law and VC exits by acquisitions, an increasingly common source of VC-related litigation. We find that transactions by VC funds under liquidity pressure are characterized by (i) a substantially... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 778
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    This paper studies the interactions between corporate law and VC exits by acquisitions, an increasingly common source of VC-related litigation. We find that transactions by VC funds under liquidity pressure are characterized by (i) a substantially lower sale price; (ii) a greater probability of industry outsiders as acquirers; (iii) a positive abnormal return for acquirers. These features indicate the existence of fire sales, which satisfy VCs' liquidation preferences but hurt common shareholders, leaving board members with conflicting fiduciary duties and litigation risks. Exploiting an important court ruling that establishes the board’s fiduciary duties to common shareholders as a priority, we find that after the ruling maturing VCs become less likely to exit by fire sales and they distribute cash to their investors less timely. However, VCs experience more difficult fundraising ex-ante, highlighting the potential cost of a common-favoring regime. Overall the evidence has important implications for optimal fiduciary duty design in VC-backed start-ups.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/261465
    Series: LawFin working paper ; no. 35
    Subjects: Acquisitions; Corporate Governance; Fiduciary Duties; Fire Sales; Liquidation Preferences; Trados; Venture Capital
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  5. Life insurance convexity
    Author: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Published: March 2022
    Publisher:  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... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 711
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    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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/262098
    Edition: This version: March 22, 2022
    Series: ECONtribute discussion paper ; no. 154
    Subjects: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  6. Market illiquidity, credit freezes and endogenous funding constraints
    Author: Bachmann, Manuel
    Published: January 2018
    Publisher:  Vienna University of Economics and Business, Wien

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 257 (255)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics working paper / Vienna University of Economics and Business ; no. 255
    Subjects: Fire Sales; Insolvency; Market & Credit Freezes; Collateralized Borrowing
    Scope: 1 Online-Ressource (circa 29 Seiten)
  7. Bank solvency stress tests with fire sales
    Author: Breuer, Thomas; Summer, Martin; Urošević, Branko
    Published: [2021]
    Publisher:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 552
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264827
    Series: Working paper / OeNB, Oesterreichische Nationalbank ; 235
    Subjects: Stress Testing; Fire Sales; Deleveraging; Systemic Risk
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  8. Tackling the volatility paradox: spillover persistence and systemic risk
    Author: Kubitza, Christian
    Published: April 2021
    Publisher:  ECONtribute, Bonn

    This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by... more

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    This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility paradox in recent macro-finance models, and highlight the usefulness of loss dynamics to disentangle fragility from amplification effects.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/237324
    Edition: This version: April 13, 2021
    Series: ECONtribute discussion paper ; no. 079
    Subjects: Systemic Risk; Fragility; Financial Crises; Asset Price Bubbles; Fire Sales
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  9. Life insurance convexity
    Author: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Published: [2021]
    Publisher:  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... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 379
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    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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/247672
    Series: ICIR working paper series ; no. 42 (2021)
    Subjects: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen