This paper studies the risk of "fire sales" in the tri-party repo market, a large and important market where securities … available to mitigate the risk of pre-default fire sales and that no established tools currently exist to mitigate the risk of …

a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on … default risk is in the form of higher default premia. Further, with high initial leverage, reductions in risk capital decrease …

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 …

agreements (repos) was recognized by external capital markets to increase bank risk in the pre-crisis period. In the crisis, we … find a negative relationship between repos and risk. We attribute this result to evidence suggesting that “good” banks were …

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …

Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a … risk. -- Financial system regulation and policies ; Financial stability ; Payment, clearing, and settlement systems …

sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across …

structural characteristics of Korean repo markets and proposes the introduction of CCPs as a way to mitigate systemic risk. To … capital through netting in multilateral transactions, and they can mitigate the effects of risk transfer by isolating … counterparty risk during periods of turbulence. In Korea, the latter effect is expected to play a pivotal role in mitigating …