to smooth consumption over time and because they provide collateral and liquidity services. We characterize a recursive … and contemporaneous costs due to lost collateral and liquidity are essential to generate these empirically plausible …

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 …

Conventional collateral requirements are highly conservative but are not explicitly designed to deal with systemic risk …. This paper explores the adequacy of conventional collateral levels against systemic risk in the Canadian futures market … during the 2008 crisis. Our results show that conventional collateral levels adequately absorb crisis-level systemic risk …