Boissel, Charles; Derrien, François; Örs, Evren; … - 2016
captures three effects: (1) the effectiveness of the haircut policy, (2) CCP member default risk (conditional on sovereign … default) and (3) CCP default risk (conditional on both sovereign and CCP member default). The data show that, during the … sovereign debt crisis of 2011, repo rates strongly respond to movements in sovereign risk, in particular for GIIPS countries …
