Roll-over Risk and debt maturity

Anatoli segura

Nationality Spanish

Year of selection 2010

Institution CEMFI

Country Spain

Risk Socio-Economics


3 years

120000 €

Is Maturity Mismatch guilty of contagious liquidity crisis?

What triggered the 2008 financial crisis in the US banking system? Liquidity issues were at the core of the chaos. Maturity mismatch between assets and liabilities in the financial system is excessive and not properly assessed by the current regulatory framework that focuses on solvency risk.
Anatoli Segura explores interrelated issues of debt maturity, roll-over risk and their systemic implications for the stability of the whole financial system.
According to Segura, an institution’s roll-over risk can be modelled as its exposure to refinancing needs during systemic liquidity crises. His model will improve the understanding of the trade-off between the preference of investors for short-term debt maturities and the preference of banks for long-term ones. It may also help analyze possible regulatory responses to liquidity crises.

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