BIS authors design game of asset managers

The Bank for International Settlements, Basel
The BIS. Image: Ulrich Roth
Photo: Ulrich Roth

Asset managers tend to amplify the effect of investor redemptions by increasing their holdings of cash, simultaneously worsening fire sales, research published by the Bank for International Settlements finds.

The working paper by Stephen Morris, Ilhyock Shim and Hyun Song Shin, published today (January 30), sets out a global game analysis of investor runs and an empirical investigation. The authors seek to determine whether asset managers prepare cash buffers before stress events or build up

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