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 …

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

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

for CDS sellers is found to be sudden increases in collateral requirements on multiple correlated CDS exposures. Close …

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 …

on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and … quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction … cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …

We build a model of collateral choice by banks that allows to recover the opportunity cost of collateral use and the … Central Bank from 2009 to 2011. The model can be used to quantify how changes in haircuts affect the collateral used by banks … rated collateral would have reduced the use of this collateral by 10% but would have increased the average funding cost …