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  1. Developing macroprudential policy for alternative investment funds
    towards a framework for macroprudential leverage limits in Europe : an application for the Netherlands
    Author: Veer, Koen J. M. van der; Levels, Anouk; Lambert, Claudia; Molestina Vivar, Luis; Weistroffer, Christian; Chaudron, Raymond; Stralen, René de Sousa van
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This joint ECB-DNB Occasional Paper aims to inform the ongoing discussions about an EU-level framework for operationalising macroprudential leverage limits for alternative investment funds (AIFs). It builds on, and extends, the analysis of an ECB-DNB... more

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    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

     

    This joint ECB-DNB Occasional Paper aims to inform the ongoing discussions about an EU-level framework for operationalising macroprudential leverage limits for alternative investment funds (AIFs). It builds on, and extends, the analysis of an ECB-DNB special feature article published in the ECB's Financial Stability Review in November 2016. First, this Occasional Paper presents new EU-level evidence suggesting that leveraged funds exhibit stronger sensitivity of investor outflows to bad past performance than unleveraged funds, which has the potential to exacerbate systemic risk. Second, it devises a framework for assessing financial stability risks from leverage in investment funds. This is applied to leveraged AIFs managed by asset managers in the Netherlands using Alternative Investment Fund Managers Directive (AIFMD) data for the two-year period from the first quarter of 2015 to the fourth quarter of 2016. Third, it discusses the potential effectiveness and efficiency of various designs for macroprudential leverage limits. To this end, it builds on the findings for the Dutch AIF sector and suggests design options for further exploration at EU level. Beyond assessing financial stability risks from leverage in the Dutch AIF sector, the case study aims to show how equivalent information on AIFs at the European level - which will be made available to the European Securities Markets Authority (ESMA) and the European Systemic Risk Board (ESRB) in the coming years - could be used when developing an EU-level framework for operationalising macroprudential leverage limits.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289928649
    Other identifier:
    hdl: 10419/175744
    Series: Occasional paper series / European Central Bank ; no 202 (November 2017)
    Subjects: financial services; financial policy; public policy; macroeconomics; investment; Netherlands; asset managers; alternative investment funds; leverage; macroprudential policy; financial stability
    Scope: 1 Online-Ressource (42 Seiten), Illustrationen
  2. Developing macroprudential policy for alternative investment funds
    towards a framework for macroprudential leverage limits in Europe : an application for the Netherlands
    Author: Veer, Koen J. M. van der; Levels, Anouk; Lambert, Claudia; Molestina Vivar, Luis; Weistroffer, Christian; Chaudron, Raymond; Stralen, René de Sousa van
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This joint ECB-DNB Occasional Paper aims to inform the ongoing discussions about an EU-level framework for operationalising macroprudential leverage limits for alternative investment funds (AIFs). It builds on, and extends, the analysis of an ECB-DNB... more

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Inter-library loan:
    No inter-library loan

    Location:
    Staats- und Universitätsbibliothek Bremen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 535 (202)
    Inter-library loan:
    No inter-library loan

     

    This joint ECB-DNB Occasional Paper aims to inform the ongoing discussions about an EU-level framework for operationalising macroprudential leverage limits for alternative investment funds (AIFs). It builds on, and extends, the analysis of an ECB-DNB special feature article published in the ECB's Financial Stability Review in November 2016. First, this Occasional Paper presents new EU-level evidence suggesting that leveraged funds exhibit stronger sensitivity of investor outflows to bad past performance than unleveraged funds, which has the potential to exacerbate systemic risk. Second, it devises a framework for assessing financial stability risks from leverage in investment funds. This is applied to leveraged AIFs managed by asset managers in the Netherlands using Alternative Investment Fund Managers Directive (AIFMD) data for the two-year period from the first quarter of 2015 to the fourth quarter of 2016. Third, it discusses the potential effectiveness and efficiency of various designs for macroprudential leverage limits. To this end, it builds on the findings for the Dutch AIF sector and suggests design options for further exploration at EU level. Beyond assessing financial stability risks from leverage in the Dutch AIF sector, the case study aims to show how equivalent information on AIFs at the European level - which will be made available to the European Securities Markets Authority (ESMA) and the European Systemic Risk Board (ESRB) in the coming years - could be used when developing an EU-level framework for operationalising macroprudential leverage limits.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289928649
    Other identifier:
    hdl: 10419/175744
    Series: Occasional paper series / European Central Bank ; no 202 (November 2017)
    Scope: 1 Online-Ressource (42 Seiten), Illustrationen