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Collateral affects return risk : evidence from the euro bond market

Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10012225036

Brunnermeier, Markus K.; Merkel, Sebastian; Sannikov, Yuliy - 2022

The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...

Persistent link: https://www.econbiz.de/10013308246

How did Britain democratize? : views from the sovereign bond market

Dasgupta, Aditya; Ziblatt, Daniel - In: The journal of economic history 75 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011342154

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

Interest rates or haircuts? : prices versus quantities in the market for collateralized risky loans

Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …

Persistent link: https://www.econbiz.de/10011569701

Risky arbitrage and collateral policies

Zhang, Ally Quan - 2017 - Last Update: October 6, 2017

collateral constraint helps maintain the stability at the cost of market liquidity supply … collateral to support arbitrage trades. We show that with volatile asset demands, arbitrage becomes risky. With information … frictions, a looser collateral policy might render the economy more vulnerable to extremely large demand shocks, while a tighter …

Persistent link: https://www.econbiz.de/10011874838