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We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and...
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Remarks at the New Jersey Bankers Association Economic Forum, Iselin, New Jersey.
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identify the supply curve facing a bank borrower in the interbank market and study how access to overnight credit is affected … to adverse changes in public information about credit quality by restricting access to the market in a fashion consistent … credit quality by increasing leverage so as to offset the future impact on earnings. While the responsiveness of investors to …
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different PD estimation methods-cohort and duration (intensity)-using twenty-two years of credit ratings data. We find that the …
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Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets …. Using a micro data set of individual corporate loans, this paper explores whether use of credit derivatives is associated … with an increase in bank credit supply. The author finds evidence that greater use of credit derivatives is associated with …
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