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SUMMARY:Illiquidity Runs
DTSTART:20200331T120000
DTEND:20200331T130000
DTSTAMP:20260428T022227Z
UID:0a0cfaa1e73b34186dd56bec78626ed4340e0174738173cb53f2d3cf
CATEGORIES:Conferences - Seminars
DESCRIPTION:Thomas Geelen\, Copenhagen Business School\nWe develop a debt 
 run model in which a bank dynamically rebalances its portfolio and runs ha
 ve a permanent impact. Higher illiquidity of the bank’s assets adversely
  affects its solvency ratio\, and therefore creditors run earlier. As its 
 solvency ratio deteriorates\, the bank initially scales back its investmen
 t in risky illiquid assets to avoid closure. When its solvency ratio falls
  even lower\, the bank gambles for resurrection. Liquidity regulation rest
 ricts the bank’s risk-shifting ability and therefore decreases its proba
 bility of closure by the regulator. Finally\, we show that uncertainty abo
 ut the regulator’s intervention policy increases the probability of a ba
 nk run occurring.
LOCATION:UNIL\, Extranef\, room 126
STATUS:CANCELLED
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