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Aggregate liquidity shortages, idiosyncracic liquidity smoothing and banking regulation
(CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
This paper develops a model of banking fragility driven by aggregate liquidity shortages. Inefficiencies arise because liquidity smoothing across banks breaks down when there is such a shortage, causing unnecessary and ...
Credit derivatives, the liquidity of bank assets and banking stability
(CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
The emerging markets for credit derivatives have improved the liquidity of bank assets by providing banks with various new possibilities for selling and hedging their risks. This paper examines the consequences for banking ...
Credit derivatives and sovereign debt
(CFAP, Cambridge Judge Business School, University of Cambridge, 2005-10)
We study the introduction of credit protection on sovereign debt. We find that such protection reduces debtor moral hazard by allowing a bonghokder to improve his position in negotiations with the sovereign. Moreover, ...