This paper surveys the theoretical and empirical literature on interest rate risk in banking. Theoretically, it considers the origins of interest rate risk and its allocation. Interest rate risk is non-diversifiable and does not originate from the banking sector, but from the potential time...

This paper proposes a network formation model of an OTC derivatives market where both prices and quantities are bilaterally negotiated. The key feature of the framework is to endogenize the network of exposures, the gross and net notional amounts traded and the collateral delivered through...

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...