Risk and Liquidity

By Hyun Song Shin. 2010

193 citations recorded by the source corpus.

Risk is endogenous. It builds up during booms, as measured risks fall and individual market participants increase their risk-taking. Risk is then manifested during downturns, as measured risks rise and individual market participants recoil from risk taking. Prices (including the market price of risk) therefore play a dual role: they are simultaneously a reflection of market participants’ actions as well as an imperative for their actions. This book is organized around several practical examples in financial economics that illustrate these principles.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/6247a853c3e72b5ea951e8575a0eb10f4a082b12

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Citations in the corpus

Delayed Expected Loss Recognition and the Risk Profile of Banks: delayed loss recognition and the risk profile of banks (2015, unknown): “Capital inadequacy concerns and equity financing frictions can push banks to significantly reduce assets via deleveraging and curtailed lending, potentially exacerbating economic downturns (e.g., Adrian and Shin (2011, 2010, Shin (2010) and Achraya et al. (2010)).”
Global Banking Glut and Loan Risk Premium (2012, background): “Thus, the favorable shock acts to change the banks’ “as if” preferences (see Shin (2010) for more detailed discussion).”
Procyclicality and Monetary Aggregates (2011, unknown): “Figure 2, taken from Adrian and Shin (2010), shows the scatter chart of the weighted average of the quarterly change in assets against the quarterly change in leverage of the (then) five stand-alone US investment banks.3 Leverage is the ratio of total assets to equity.”
Financial Development in Latin America and the Caribbean : The Road Ahead [El desarrollo financiero en América Latina y el Caribe : el camino por delante] (2011, background): “as in Shleifer and Vishny (1997b); between the ones with better technologies and the ones with worse technologies, as in Kiyotaki and Moore (1997); or between the optimists and the pessimists, as in Geanakoplos (2009).”
Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, background): “Suggested Citation: Hüser, Anne-Caroline (2015) : Too interconnected to fail: A survey of the interbank networks literature, SAFE Working Paper, No.”
Financial Intermediaries and Monetary Economics (2010, unknown): “This empirical hypothesis is explored in detail in Adrian, Moench, and Shin (2010), who demonstrate for a large cross section of asset prices and intermediary balance sheets that positive balance sheet growth forecasts lower risk premia.”
An Academic Response to Basel 3.5 (2014, background): “[1] for further details and Shin [2] for more background.”
Fire sales, indirect contagion and systemic stress testing (2017, unknown): “An oft-cited argument to support this model is the empirical correlations between quarterly changes in asset size and debt size for banks [Adrian and Shin, 2010, Adrian and Shin, 2014].”
Covered interest parity lost: understanding the cross-currency basis (2016, background): “Before the GFC, these risks were not fully priced in the relevant markets and, partly as a result, dealer banks had raised their leverage to dangerous levels (Shin (2010)).”
The Hunt for Duration: Not Waving but Drowning? (2017, unknown): “We build on an example given in Shin (2010) of a liability-driven investment strategy that attempts to hedge against interest rate risk.”