|
|
|
|
||||
|
||||
Liquidity Risk and Syndicate StructureEvan GatevSimon Fraser University Philip E. StrahanBoston College - Department of Finance; National Bureau of Economic Research (NBER) August 20, 2008 AFA 2009 San Francisco Meetings Paper 21st Australasian Finance and Banking Conference 2008 Paper Abstract: We produce a comprehensive decomposition of syndicated loan risk into credit, market and liquidity risk and test how these shape loan syndicate structure. Banks dominate relative to onbank investors in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of credit or market risk. We then tie banks' comparative advantage in liquidity risk bearing to their access to transactions deposits by comparing investments across banks. The results suggest that risk-management considerations matter most for participants relative to lead arrangers. Links from transactions deposits to liquidity exposure, for instance, are more than 50% larger at participants than at lead arrangers.
Number of Pages in PDF File: 47 Keywords: Liquidity Risk, Banks, Syndicates, Syndicated Loans JEL Classification: G21, G20, G2 working papers seriesDate posted: March 25, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.641 seconds
