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Paper / 2014SMQ / 38184851226646
Bank Risk Taking and Liquidity Creation Following Regulatory Interventions and Capital Support
Berger, Allen N. / Bouwman, Christa H. S. / Kick, Thomas / Schaeck, Klaus
banking / causal inferenceResource overview

Bank Risk Taking and Liquidity Creation Following Regulatory Interventions and Capital Support

Paper2014

by Berger, Allen N., Bouwman, Christa H. S., Kick, Thomas, Schaeck, Klaus

Tags
bankingcausal inferenceliquidity

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Suggested foundations for market microstructure and execution and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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