00000nam 2200000za 4500 9.816516 CaOODSP 20221107142254 cr ||||||||||| 160428s2016 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2016-17E-PDF Ahnert, Toni. Opaque assets and rollover risk [electronic resource] / by Toni Ahnert and Benjamin Nelson. [Ottawa] : Bank of Canada, 2016. iii, 42 p. : fig., tables Staff Working Paper, 1701-9397 ; 2016-17 "April 2016." Includes bibliographical references (p. 28-31). We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. The endogenous benefit of opacity is lower fragility when profitability is expected to be high. However, the endogenous cost of opacity is a “partial run,” whereby some investors receive bad private signals about profitability and run, even though the intermediary is solvent. We find that intermediaries choose to be transparent (opaque) when expected profitability is low (high). Intermediaries with less volatile profitability are also more likely to choose to be opaque. gccst Banks gccst Assets gccst Risk management Nelson, Benjamin D. (Benjamin David), 1983- Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2016-17 (CaOODSP)9.806221 PDF 1.18 MB https://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-17-eng.pdf