for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re …

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on … collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation … value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency …

to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …

framework addresses common market practices of ISDA governed deals without restrictive assumptions on collateral margin payments … detail in Brigo and Pallavicini (2014). In particular, we allow for asymmetric collateral and funding rates, replacement …

pushed the industry to use collateral in order to reduce the risk. In this new world, we want to see how this new … considerations affect the theory related to the Partial Differential Equation (PDE) pricing methodology. First, we consider a … Post Lehman Theory.We establish different PDE forms dependent of the treasury management strategy and also retrieve …

to post collateral fully. The economy exhibits funding asymmetry in that deposit and borrowing have differing rates. A …

to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …