Concept

Lender of last resort

Related publications (18)

Monetary Independence And Rollover Crises

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Stress tests and loan pricing—Evidence from syndicated loans

Luisa Lambertini, Abhik Mukherjee

This paper estimates the impact of stress-testing on lending spreads. We use firm-level data onsyndicated loans matched with bank holding company (BHC) data in our panel regressions.Using a difference-in-difference framework, we find: (1) BHCs that failed ...

2021

Stress tests and loan pricing—Evidence from syndicated loans

Luisa Lambertini, Abhik Mukherjee

This paper estimates the impact of stress-testing on lending spreads. We use firm-level data on syndicated loans matched with bank holding company (BHC) data in our panel regressions. Using a difference-in-difference framework, we find: (1) BHCs that faile ...

2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

The Role of Technology in Mortgage Lending

Andreas Fuster

Technology-based (“FinTech”) lenders increased their market share of U.S. mortgage lending from 2% to 8% from 2010 to 2016. Using loan-level data on mortgage applications and originations, we show that FinTech lenders process mortgage applications 20% fast ...

2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

Financial Stability and the Macroeconomy

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Credit Supply and the Macroeconomy

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

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