Lillo, Fabrizio; Pirino, Davide - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 180-202
Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral,...