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Events

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Arbitrage Capital of Global Banks
17Jun
Finance

Arbitrage Capital of Global Banks

17 Jun 2021 | 9:30 a.m. – 11:00 a.m.
Zoom
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Speaker:

Dr. Wenxin Du
Associate Professor of Finance
University of Chicago Booth School of Business

 

Abstract:

We show that the role of unsecured, short-term wholesale funding for global banks has changed significantly in the post-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions— in particular, the interest on excess reserves arbitrage and the covered interest rate parity arbitrage. In this environment, we examine the response of global banks to a large negative wholesale funding shock as a result of the U.S. money market mutual fund reform implemented in 2016. In contrast to past episodes of wholesale funding dry-ups, we find that the primary response of global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in loan provision.

 

 

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Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18Jun
Economics | Seminar
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18 June 2025 | 2:15 PM - 3:30 PM
KK 910 K. K. Leung Building, HKU
Prof. Katsumi Shimotsu
About Speaker
Dr. Wenxin Du

Associate Professor of Finance, University of Chicago Booth School of Business

Arbitrage Capital of Global Banks
17 Jun 20219:30 a.m. – 11:00 a.m.
Zoom
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