studying an extensive dataset of banks' liquidity uptake and pledged collateral in central bank repos. We document systemic … collateral to demand disproportionately larger amounts of central bank money (liquidity). This holds both before and after the … arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality …

to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …

to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … to ICASs can be partly explained by banks’ liquidity constraints, but not by their degree of capitalisation. Overall, our …