Risk and liquidity in a system context
By: by Hyun Song Shin
Contributors: Bank for International Settlements. Monetary and Economic Department
Series: BIS working papers -- no. 212
Publisher: Bank for International Settlements
Published: 2006
Place of publication: Basel, Switzerland
Language: eng
Format: [electronic resource] /
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.
Notes: Title from PDF file (viewed on Sept. 27, 2006).

"Monetary and Economic Department."

"August 2006."

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.