Working Paper: Modelling Fire Sales From Regulatory Cliff Effects

Working Paper - August 2017 - No. 117

Authors Graeme Stuart Cokayne; Brøgger, Andreas Christian Svane
Subject Denmarks Nationalbank´s analyses of financial stability; Financial stability; Interconnectedness
Type Working paper
Year 2017
Published 8 August 2017
This paper investigates fire sales triggered by regulatory cliff effects induced by the loss of Capital Requirements Regulations (CRR) compliance on covered bonds.