A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral … assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an …

defaulting member. We consider schemes that use a collateral pool calculated using a rolling time window. Our simulations show … that the size of the window has a very significant effect on the average level of collateral and its variability day to day …, creating an interesting trade-off. Collateral levels and variability may be important for ACSS participants because they could …

valuation adjustment termed CVA.The majority of trading counterparties require collateral to be posted to cover bilateral … trading positions and have extensive legal documentation in place to govern the collateral calculation and transfer process … collateral posting process in detail and outline all the main important terminology and terms outlined in the ISDA CSA. Finally …

Haircut, a discount on the market value of financial collateral, draws its intuition from earlier stock loan brokers …-exponential jump-diffusion model for collateral market risk and solving haircuts to target credit risk measurements or credit ratings … bonds show potential for uses in collateral agreements, e.g. CSAs, and for regulatory capital calculations …