Corpus ID: 157552

National Centre of Competence in Research Financial Valuation and Risk Management

  title={National Centre of Competence in Research Financial Valuation and Risk Management},
  author={Marie Allard and Camille Bronsard and Christian Gouri{\'e}roux},
I model a financial market that dries out in the wake of premature liquidations. Two main results are obtained. First, liquidity may vanish even if small, riskneutral buyers could easily compensate the ongoing selling. Thus, more markets are vulnerable to “runs” than suggested by previous work. Second, the scale of premature liquidations is not informative about welfare losses. In fact, market runs may be nearly constrained efficient. The latter finding might suggest an explanation for the… Expand
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Enter short title in File/Properties/Summary
Exposure at Default (EAD) quantification for the large exposures to contingent credit lines (CCLs) is a critical for models of credit risk amongst financial institutions. This includes expected lossExpand
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