This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral … risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement … collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit …

In global financial centers, short-term market rates are effectively determined in the pledged collateral market, where … banks and other financial institutions exchange collateral (such as bonds and equities) for money. Furthermore, the use of … long-dated securities as collateral for short tenors-or example, in securities-lending and repo markets, and prime …

, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which … ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity … possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the …

potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can … depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These determinants are endogenous … productivity and size. Moreover, systemic runs are possible if shocks to the valuation of collateral held by outside investors are …

We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is …