Dynamic Debt Runs

By Zhiguo He. 2010

396 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d0b4900a8e748bbebca3bb7fa3c427c76839932b

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Citations in the corpus

Rollover Risk and Credit Risk (2012, unknown): “This feature also di¤erentiates our model fromMorris and Shin (2004, 2010) and He and Xiong (2010), who focus on rollover risk originated from coordination problems between debt holders of rms that are restricted from raising more equity.”
How Debt Markets Have Malfunctioned in the Crisis (2009, unknown): “Caballero and Krishnamurthy (2009) argue that the demand for safe/liquid securities over the last decade, driven by global imbalances, helps to explain the increase in fi nancial sector leverage prior to the current crisis.”
Endogenous Liquidity and Defaultable Bonds (2012, background): “Additionally, the recent financial crisis of 2007-2008 has demonstrated that the deterioration of secondary market liquidity can adversely affect the refinancing operations of firms, which in turn exacerbates the firm fundamental and drives up the credit derivative swaps (He and Xiong (????b)). Take”
Sizing Up Repo (2014, unknown): “Short-term debt can leave borrowers vulnerable to runs (Diamond and Dybvig (1983)) and rollover risk (Cole and Kehoe (2000), He and Xiong (2012)), which can lead to or exacerbate financial crises.”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “He and Xiong (2012) show that the creditors of a firm will roll-over short-term debt only if they expect future creditors to do the same, so that “dynamic debt runs” are possible.”
Debt Maturity Structure and Credit Quality (2014, background): “” See also He and Xiong (2012a). He and Xiong (2012b) show that short-term debt exacerbates the conflict of interests between shareholders and debtholders because shareholders bear rollover losses that arise when short-term debt is refinanced.”
Runs on Money Market Mutual Funds (2016, background): “, He and Xiong (2012a,b). However, MMMFs are one of the primary sources of demand for these assets, and, thus, inherit rollover risk on the asset side of their balance sheets; a corporation unable to roll its paper will default on its maturing paper. Parlatore (2014) shows how strategic complementar”
Mean Field Games of Timing and Models for Bank Runs (2016, unknown): “Another continuous-time bank run model worthy of mention can be found in the paper [18] by 1”
Applications of Mean Field Games in financial engineering and economic theory (2020, background): “In the spirit of the discussion to follow, it is worth mentioning the works of Morris and Shin [68] and He and Xiong [56].”