Risk and liquidity in a system context
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Author
Contributions
- Bank for International Settlements. Monetary and Economic Department - Contributor
Publication
2006 - Bank for International Settlements, Basel, Switzerland, Switzerland
Language
English
Word Count
0 words, Guess
Page Count
0 pages
Physical Format
Electronic resource
Identifiers
- Library of Congress Control Number2006619978
- Open LibraryOL31759962M
Classifications
- LCCHG3879
Description
This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting. It is possible for spreads to fall as debts rise, as debt-fuelled increases in asset prices and stronger balance sheets reinforce each other. Conversely, it is possible that de-leveraging leads to increases in spreads, as is often observed during crises.
Subjects
Series Statement
- BIS working papers -- no. 212
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