Unsecured and Secured Funding

A new paper on “Unsecured and Secured funding is available on SSRN We empirically investigate why wholesale funding is fragile by providing the first study how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and theories […]

New paper “Fragility of Money Markets”

I have a new paper on “Fragility of Money Markets” (with Angelo Ranaldo and Matthias Rupprecht). We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. Capital-constrained, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money […]

Completely revised working paper

Today, I uploaded a completely revised version of my working paper with Fabio Trojani and Christian Wiehenkamp on SSRN. The new title is “Ambigutiy and Reality”. Abstract: Model builders face ambiguity about the true data generating process. Consequently, they need to deal with ambiguity attitudes (inside uncertainty) and ambiguous financial reality (outside uncertainty) when developing […]