) 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 …

) 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 …

between short-term repo and long-term investments that banks need to finance. The resulting rollover risk in repo financing … failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate …I build a dynamic model of the shadow banking system that intermediates funds through the interbank repo market to …

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 …

This paper examines the role of collateral in the financial system, with special emphasis on the implications for … financial collateral assets. Then we examine financial stability issues and the case for regulating the use of collateral. We … use of collateral is neither a sufficient nor a necessary condition for financial stability. To ensure the stability of …

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 …

The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a … the determinants of collateral spreads by testing the constrained-arbitrage theory. The findings are supportive … significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained …