Liquidity risk and syndicate structure

被引：40

作者：

Gatev, Evan ^{[2
]}

Strahan, Philip E. ^{[1
]}

机构：

[1] Boston Coll, NBER, Wharton Financial Inst Ctr, Chestnut Hill, MA 02467 USA

[2] Simon Fraser Univ, Vancouver, BC, Canada

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 93卷 / 03期

关键词：

Liquidity; Risk management; Syndicated lending; TERM CAPITAL MANAGEMENT; DEPOSIT INSURANCE; MARKET; BANKS; IMPACT; LOANS;

D O I：

10.1016/j.jfineco.2008.10.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We decompose syndicated loan risk into credit, market, and liquidity risk and test how these shape syndicate structure. Commercial banks dominate relative to non-banks in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of creditor market risk. We then tie commercial banks' advantage in liquidity risk to access to transactions deposits by comparing investments a cross-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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：490 / 504

页数：15

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