Publications
Publications
- 2014
- Risk Topography: Systemic Risk and Macro Modeling
Remapping the Flow of Funds
By: Juliane Begenau, Monika Piazzesi and Martin Schneider
Abstract
This article argues that quantitative analysis of credit market positions would benefit tremendously if the additional information about the structure of payment streams were more readily available. Most available data on credit market positions, such as the Flow of Funds Accounts report accounting measures such as book value or fair value. In contrast, most economic analysis views asset positions as random payment streams that are valued by state prices. The latter view typically requires additional information, in particular the maturity or next repricing date of the instrument, the promised interest rate, call or prepayment provisions, and the credit rating of the borrower.
Keywords
Citation
Begenau, Juliane, Monika Piazzesi, and Martin Schneider. "Remapping the Flow of Funds." In Risk Topography: Systemic Risk and Macro Modeling, edited by Markus Brunnermeier and Arvind Krishnamurthy. National Bureau of Economic Research Conference Report. University of Chicago Press, 2014.