scholarly journals Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

2009 ◽  
Author(s):  
Florian Heider ◽  
Marie Hoerova ◽  
Cornelia Holthausen
Keyword(s):  
Counterparty Risk ◽  
Interbank Market

scholarly journals Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

2009 ◽  
Author(s):  
Florian Heider ◽  
Marie Hoerova ◽  
Cornelia Holthausen
Keyword(s):  
Counterparty Risk ◽  
Interbank Market

Liquidity hoarding and interbank market rates: The role of counterparty risk

2015 ◽  
Vol 118 (2) ◽  
pp. 336-354 ◽  
Author(s):  
Florian Heider ◽  
Marie Hoerova ◽  
Cornelia Holthausen
Keyword(s):  
Counterparty Risk ◽  
Interbank Market

scholarly journals Time versus State in Insurance: Experimental Evidence from Contract Farming in Kenya

2018 ◽  
Vol 108 (12) ◽  
pp. 3778-3813 ◽  
Author(s):  
Lorenzo Casaburi ◽  
Jack Willis
Keyword(s):  
Crop Insurance ◽  
Counterparty Risk ◽  
Harvest Time ◽  
Contract Farming ◽  
Present Bias ◽  
The Poor ◽  
Percentage Points ◽  
Randomized Control ◽  
The Difference

The gains from insurance arise from the transfer of income across states. Yet, by requiring that the premium be paid up front, standard insurance products also transfer income across time. We show that this intertemporal transfer can help explain low insurance demand, especially among the poor, and in a randomized control trial in Kenya we test a crop insurance product which removes it. The product is interlinked with a contract farming scheme: as with other inputs, the buyer of the crop offers the insurance and deducts the premium from farmer revenues at harvest time. The take-up rate for pay-at-harvest insurance is 72 percent, compared to 5 percent for the standard pay-up-front contract, and the difference is largest among poorer farmers. Additional experiments and outcomes provide evidence on the role of liquidity constraints, present bias, and counterparty risk, and find that enabling farmers to commit to pay the premium just 1 month later increases demand by 21 percentage points. (JEL G22, I32, O13, O16, Q12, Q14)

Critical Analysis of the Role of the Reserve Bank of India in Managing Liquidity in the Interbank Market amidst Financial Stress

2016 ◽  
Vol 5 (3) ◽  
pp. 33-45
Author(s):  
Rituparna Das
Keyword(s):  
Critical Analysis ◽  
Banking Industry ◽  
Economic Downturn ◽  
Interbank Market ◽  
Liquidity Management ◽  
Management Procedure ◽  
Reserve Bank ◽  
Loan Defaults ◽  
Reserve Bank Of India

During the period 2011-12 of economic downturn characterized typically by economy wide loan defaults many banks in India are reported to have posted adequate levels of capital but experienced difficulties due to unsound liquidity management. In an attempt to examine the ease of liquidity management procedure of the Indian banking industry, this paper critically examines whether the central bank of the country facilitates liquidity management of the banks during the stress periods. The finding is that it does not.

CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

2013 ◽  
Vol 16 (07) ◽  
pp. 1350039 ◽  
Author(s):  
CYRIL DURAND ◽  
MAREK RUTKOWSKI
Keyword(s):  
Comparative Analysis ◽  
Systemic Risk ◽  
General Framework ◽  
Practical Importance ◽  
Numerical Results ◽  
Counterparty Risk ◽  
Market Environment ◽  
Financial Contracts

We propose a fairly general framework which allows one to perform Credit Value Adjustment (CVA) computations for a contract with bilateral counterparty risk in the presence of (a) systemic risk and (b) wrong-way or right-way risks. Our methodology focuses on the role of alternative settlement clauses, but it also aims to cover various features of margin agreements. We present a comparative analysis of numerical results that supports our initial conjecture that alternative specifications of settlement values have a nonnegligible impact on CVA computations for contracts with bilateral counterparty risk. Our conclusions emphasize the practical importance of more sophisticated models that are capable of fully reflecting the actual features of financial contracts, as well as the influence of the market environment.

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