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Displaying results 1 to 13 of 13.

  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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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    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. Post-crisis international financial regulatory reforms
    a primer
    Author: Borio, Claudio E. V.; Farag, Marc; Tarashev, Nikola A.
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 859 (April 2020)
    Subjects: bank regulation; CCPs; asset managers; macroprudential
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  3. Debt de-risking
    Author: Cutura, Jannic; Parise, Gianpaolo; Schrimpf, Andreas
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

    We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios,... more

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    We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading-off higher yields for more liquid and safer assets. De-risking is stronger for laggard funds that have a more concave sensitivity of flows-to-performance, in periods of market stress, and when bond yields are high. We provide evidence that debt de-risking also reduces ex post liquidation costs by mitigating the investors' incentive to run ex ante. We argue that, in the presence of de-risking behaviors, flexible NAVs (swing pricing) may be counter-productive and induce moral hazard.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 868 (June 2020)
    Subjects: corporate bond funds; bond market liquidity; asset managers; risk-taking; competitive pressures
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. Simulating fire sales in a system of banks and asset managers
    Author: Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid
    Published: [2020]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al.... more

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    We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism with endogenous formation of asset prices. We find that, first, banks which are active in both the interbank and securities markets may channel financial distress between the two markets. Second, while higher bank capital requirements decrease default risk and funding costs, they make it also more profitable to invest into less-liquid assets financed by interbank borrowing. Third, asset managers absorb small liquidity shocks, but they exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected agents is more prone to contagion risk stemming from funding shocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289940160
    Other identifier:
    hdl: 10419/228987
    Series: Working paper series / European Central Bank ; no 2373 (February 2020)
    Subjects: fire sales; contagion; systemic risk; asset managers; agent-based model
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. Careers in finance
    Author: Ellul, Andrew; Pagano, Marco; Scognamiglio, Annalisa
    Published: [2020]
    Publisher:  EIEF, Einaudi Institute for Economics and Finance, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 730
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: EIEF working paper ; 20, 07 (May 2020)
    Subjects: careers; hedge funds; asset managers; market discipline; scarring effects
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  6. Informed trading in government bond markets
    Author: Lou, Dong
    Published: 10 July 2020
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP15028
    Subjects: government bonds; informed trading; return predictability; asset managers
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  7. Careers in finance
    Author: Ellul, Andrew; Pagano, Marco; Scognamiglio, Annalisa
    Published: April 2020
    Publisher:  CSEF, Centre for Studies in Economics and Finance, Department of Economics, University of Naples, Naples, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CSEF, Centre for Studies in Economics and Finance, University of Naples ; no. 561
    Subjects: careers; hedge funds; asset managers; market discipline; scarring effects
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  8. Informed trading in government bond markets
    Author: Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu
    Published: July 2021
    Publisher:  [LSE Financial Markets Group], [London]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This draft: January 2021
    Series: Discussion paper / Financial Markets Group ; no 837
    Paul Woolley Centre working paper ; no 77
    Subjects: government bonds; informed trading; return predictability; asset managers
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  9. From "capital and ideology' to 'democracy and evidence"
    a review of Thomas Piketty
    Author: McGaughey, Ewan
    Published: April 2021
    Publisher:  Centre for Business Research, University of Cambridge, Cambridge

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    Media type: Book
    Format: Online
    Series: Working paper / Centre for Business Research, University of Cambridge ; no. 526
    Subjects: Capital; ideology; democracy; evidence; banks; asset managers; codetermination; economic power; social justice
    Scope: 1 Online-Ressource (circa 27 Seiten)
  10. Informed trading in government bond markets
    Author: Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu
    Published: June 2020
    Publisher:  Bank of England, London

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    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 871
    Subjects: Government bonds; informed trading; return predictability; asset managers
    Scope: 1 Online-Ressource (circa 55 Seiten)
  11. Careers in finance
    Author: Ellul, Andrew; Pagano, Marco; Scognamiglio, Annalisa
    Published: 15 May 2020
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP14767
    Subjects: careers; hedge funds; asset managers; market discipline; scarring effects
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  12. Career risk and market discipline in asset management
    Author: Ellul, Andrew; Pagano, Marco; Scognamiglio, Annalisa
    Published: 2018
    Publisher:  Universitätsbibliothek Johann Christian Senckenberg, Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 602
    Subjects: Führungskraft; Hedge Fund; Berufslaufbahn; Liquidation; Geschäftsführergehalt; Vergütung; :z Geschichte 2007-2014
    Other subjects: (stw)2007-2014; (stw)Führungskräfte; (stw)Hedgefonds; (stw)Erwerbsverlauf; (stw)Liquidation; (stw)Managervergütung; (stw)USA; hedge funds; asset managers; market discipline; scarring effects; Graue Literatur
    Scope: Online-Ressource
  13. Simulating fire-sales in a banking and shadow banking system
    Author: Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We take a structural approach to the price formation mechanism as in Bluhm, Faia and Kranen (2014) and introduce a clearing mechanism with an endogenous formation of asset prices. Both types of institutions hold liquid and illiquid assets and are funded via equity and deposits. Traditional banks are interconnected in the money market via mutual interbank claims, where the rate of return is endogenously determined through a tatonnement process. We show how in such a set-up an initial exogenous liquidity shock may lead to a fire-sale spiral. Banks, which are subject to capital and liquidity requirements, may be forced to sell an illiquid security, which impacts its, endogenously determined, market price. As the price of the security decreases, both agents update their equity and adjust their balance sheets by making decisions on whether to sell or buy the security. This endogenous process may trigger a cascade of sales leading to a fire-sale. We find that, first, mixed portfolios banks act as plague-spreader in a context of financial distress. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and choose mixed portfolios business model which is also characterized by lower levels of voluntary capital buffer. Third, asset managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295081932
    Other identifier:
    hdl: 10419/193553
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 46 (June 2017)
    Subjects: bank; financial institution; public policy; liquidity control; banking system; prices; shadow banking; Fire sales; contagion; systemic risk; asset managers; agent based model
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen