repurchase agreements (“Repos”). By varying haircuts applied to securities that serve as collateral in repurchase agreements the …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

changed the way in which they implement monetary policy. This has drawn particular attention to the type of collateral used … operations. This paper provides an overview of the features of the different operational and collateral frameworks of three … initial design of the operational and collateral framework. JEL Classification: E52, E58, G01, G20. …

This paper presents a stress test model for the CDS market, with a focus on the interplay between banks’ bond and CDS … bond and CDS data for 65 major European banks. The model simulation shows that, in case of a sovereign credit event, banks …’ losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …

A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral … assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an …

technological diversification. Production makes use of different input varieties, which are subject to imperfectly correlated shocks …. In our model, the expansion in the number of varieties provides diversification benefits against variety-specific shocks …