This paper offers an encompassing analysis of the ECB's collateral criteria between 2001 and 2013. A comprehensive … database of changes to collateral criteria is compiled and structured by asset classes. The main findings can be summarized in … three stylized facts: (1) Since the outbreak of the financial crisis, the ECB has been six times more active in collateral …

of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk … adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral …. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …