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 …

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