The use of collateral has become one of the most widespread risk mitigation techniques. While it brings stabilizing …

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we … Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …

into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and …

confirmed that credit risk remains high. The assessment suggests that work on the crisis contingency framework should be …