A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an innovation, we allow for two-sided counterparty risk. In line with empirical observations, it is shown that the most liquid and least risky assets are used as ...
| Year of publication: |
2007-10
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|---|---|
| Authors: | Ewerhart, Christian ; Tapking, Jens |
| Subject: | Counterparty risk | repurchase agreements | collateral | liquidity | haircuts |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Number 08-24 47 pages |
| Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; E51 - Money Supply; Credit; Money Multipliers |
| Source: |
Persistent link: https://www.econbiz.de/10005534186