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Interbank liquidity crunch and the firm credit crunch: Evidence from the 2007-2009 crisis
Antoinette Schoar / José-Luis Peydró / Rajkamal Iyer / Samuel Da-Rocha-Lopes
banking / credit marketsResource overview

Interbank liquidity crunch and the firm credit crunch: Evidence from the 2007-2009 crisis

Paper2013

by Antoinette Schoar, José-Luis Peydró, Rajkamal Iyer, Samuel Da-Rocha-Lopes

Tags
bankingcredit marketsliquidity risk

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Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

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

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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