國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Revealing Asset Quality: Liquidity S...

Duke University.

Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests.
作者:	Williams, Basil.
面頁冊數:	115 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.
附註:	Advisers: S. Viswanathan; Adriano Rampini.
Contained By:	Dissertation Abstracts International76-12A(E).
標題:	Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3714901
ISBN:	9781321927603

Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests.
Williams, Basil.

Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests. - 115 p.

Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.

Thesis (Ph.D.)--Duke University, 2015.

In my first chapter, I present a model in which sellers can signal the quality of an asset both by retaining a fraction of the asset and by choosing the liquidity of the market in which they search for buyers. Although these signals may seem interchangeable, I present two settings which show they are not. In the first setting, sellers have private information regarding only asset quality, and I show that liquidity dominates retention as a signal in equilibrium. In the second setting, both asset quality and seller impatience are privately known, and I show that both retention and liquidity operate simultaneously to fully separate the two dimensions of private information. Contrary to received theory, the fully separating equilibrium of the second setting may contain regions where market liquidity is increasing in asset quality. Finally, I show that if sellers design an asset-backed security before receiving private information regarding its quality, then the optimality of standard debt is robust to the paper's various settings.

ISBN: 9781321927603Subjects--Topical Terms:

183252
Finance.

Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests.
LDR:02675nmm a2200301 4500 001 476103
005 20160418090154.5
008 160517s2015 ||||||||||||||||| ||eng d
020 $a 9781321927603
035 $a (MiAaPQ)AAI3714901
035 $a AAI3714901
040 $a MiAaPQ $c MiAaPQ
100 1 $a Williams, Basil. $3 730380
245 1 0 $a Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests.
300 $a 115 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.
500 $a Advisers: S. Viswanathan; Adriano Rampini.
502 $a Thesis (Ph.D.)--Duke University, 2015.
520 $a In my first chapter, I present a model in which sellers can signal the quality of an asset both by retaining a fraction of the asset and by choosing the liquidity of the market in which they search for buyers. Although these signals may seem interchangeable, I present two settings which show they are not. In the first setting, sellers have private information regarding only asset quality, and I show that liquidity dominates retention as a signal in equilibrium. In the second setting, both asset quality and seller impatience are privately known, and I show that both retention and liquidity operate simultaneously to fully separate the two dimensions of private information. Contrary to received theory, the fully separating equilibrium of the second setting may contain regions where market liquidity is increasing in asset quality. Finally, I show that if sellers design an asset-backed security before receiving private information regarding its quality, then the optimality of standard debt is robust to the paper's various settings.
520 $a In my second chapter, I explore the question of how informative bank stress tests should be. I use Bayesian persuasion to formalize stress tests and show that regulators can reduce the likelihood of a bank run by performing tests which are only partially informative. Optimal stress tests give just enough failing grades to keep passing grades credible enough to avoid runs. The worse the state of the banking system, the more stringent stress tests must be to prevent runs. I find that optimal stress tests, by reducing the probability of runs, reduce the optimal level of banks' capital cushions. I also examine the impact of anticipated stress tests on banks' ex ante incentive to invest in risky versus safe assets.
590 $a School code: 0066.
650 4 $a Finance. $3 183252
650 4 $a Economic theory. $3 533491
650 4 $a Banking. $2 bicssc $3 534193
690 $a 0508
690 $a 0511
690 $a 0770
710 2 $a Duke University. $b Business Administration. $3 730381
773 0 $t Dissertation Abstracts International $g 76-12A(E).
790 $a 0066
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3714901