Liquidity Crisis

Securitized Banking and the Run on Repo ArXiv ID: ssrn-1454939 “View on arXiv” Authors: Unknown Abstract The Panic of 2007-2008 was a run on the sale and repurchase market (the “repo” market), which is a very large, short-term market that provides financi Keywords: Repurchase Agreement (Repo), Liquidity Crisis, Shadow Banking, Financial Stability, Systemic Risk, Fixed Income (Money Markets) Complexity vs Empirical Score Math Complexity: 2.0/10 Empirical Rigor: 3.0/10 Quadrant: Philosophers Why: The paper is primarily a conceptual and empirical analysis of the 2007-2008 financial crisis, using novel data to trace contagion but lacking advanced mathematical formalism or backtesting frameworks. flowchart TD A["Research Goal:<br>Explain the 2007-2008 Panic"] --> B["Key Methodology:<br>Analyze Bank Holding Company Data"] B --> C["Data Inputs:<br>Repo Transactions & Financial Statements"] C --> D["Computational Processes:<br>Run Regressions on Liquidity Creation"] D --> E["Key Findings/Outcomes:<br>1. Repo funding runs caused the crisis<br>2. Increased securitization heightened systemic risk"]

Securitized Banking and the Run on Repo ArXiv ID: ssrn-1440752 “View on arXiv” Authors: Unknown Abstract The Panic of 2007-2008 was a run on the sale and repurchase market (the “repo” market), which is a very large, short-term market that provides financing for a w Keywords: Repurchase Agreement (Repo), Liquidity Crisis, Shadow Banking, Financial Stability, Systemic Risk, Fixed Income (Money Markets) Complexity vs Empirical Score Math Complexity: 2.0/10 Empirical Rigor: 7.5/10 Quadrant: Street Traders Why: The paper uses statistical correlation analysis on novel, real-world financial datasets (repo rates, haircuts, and credit spreads) to trace contagion, demonstrating high empirical rigor. Mathematical complexity is low, relying primarily on descriptive statistics and linear correlations rather than advanced stochastic calculus or dense modeling. flowchart TD A["Research Goal: What caused the<br>2007-2008 financial panic?"] B["Methodology: Analyze Repo Market<br>and Securitization Data"] C["Data: Repo Haircuts &<br>Liquidity of Securities"] D["Process: Quantify Liquidity<br>Transformation by Banks"] E["Outcome: Panic was a run on repo<br>driven by collateral haircuts"] A --> B B --> C C --> D D --> E