) 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 … a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on …

of the financial crisis in 2008. Such collateralized debt markets have both collateral price channel and counterparty … leverage and counterparty risk. Diversification of counterparty risk generates positive externalities by reducing systemic risk … and the introduction of CCP can rather increase systemic risk …

repo market pay a 2.6 basis points rate premium when their default risk is positively correlated with the risk of the … between borrower and collateral risk. …We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on …

We develop a theory of collateralized debt that emphasizes collateral risk, incentives to acquire information about … effects of an increase in collateral risk … collateral, and opportunistic default to study the determinants of the loan size, interest rates, and haircuts. The model …

and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given … haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the … to the borrower is the market value of the collateral, reduced by an amount termed haircut (or margin). The haircut …

This paper investigates contagion in financial networks through both debt and collateral markets. Payment from a … collateralized debt contract depends not only on the borrower's balance sheet but also on the price of the underlying collateral. I … show that the existence of the collateral channel of contagion amplifies the contagion from the counterparty channel, and …

model with collateral. This paper develops a general-equilibrium framework to explore QE's international transmission … involving an advanced economy (AE) and an emerging market economy (EM) whose assets have less collateral capacity. Capital flows … arise as a result of international sharing of scarce collateral. The crucial insight is that private AE agents adjust their …

model with collateral. This paper develops a general-equilibrium framework to explore QE's international transmission … involving an advanced economy (AE) and an emerging market economy (EM) whose assets have less collateral capacity. Capital flows … arise as a result of international sharing of scarce collateral. The crucial insight is that private AE agents adjust their …

and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital …