A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007. JEL Classification: G21, G32, E51collateral, Counterparty risk, haircuts, liquidity, repurchase agreements
Using a novel dataset, we study intraday trades of overnight general collateral repurchase agreement...
This paper introduces a methodology to estimate the re-use of collateral based on actual transaction...
This paper sketches the key differences in the EU and the U.S. repo markets to inform the policy rec...
Abstract. A standard repurchase agreement between two counterparties is considered to examine the en...
In the Aftermath of the 2007-09 financial crisis, repurchase agreement (repo) markets were generally...
We show that repurchase agreements (repos) arise as the instrument of choice to borrow in a competit...
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. The safety of repurchase agr...
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk....
Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This...
The recent financial crisis has shown that short-term collateralized borrowing may be a highly unsta...
Defence date: 15 September 2016Examining Board: Professor Piero Gottardi, EUI, Supervisor; Professor...
We examine whether the Centralized-Counterparty Clearinghouse (CCP) behind the General Collateral (G...
We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of...
This paper attempts to assess the economic significance and implications of collateralization in dif...
The 2007–09 financial crisis drew attention to the nature and consequences of connections among fina...
Using a novel dataset, we study intraday trades of overnight general collateral repurchase agreement...
This paper introduces a methodology to estimate the re-use of collateral based on actual transaction...
This paper sketches the key differences in the EU and the U.S. repo markets to inform the policy rec...
Abstract. A standard repurchase agreement between two counterparties is considered to examine the en...
In the Aftermath of the 2007-09 financial crisis, repurchase agreement (repo) markets were generally...
We show that repurchase agreements (repos) arise as the instrument of choice to borrow in a competit...
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. The safety of repurchase agr...
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk....
Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This...
The recent financial crisis has shown that short-term collateralized borrowing may be a highly unsta...
Defence date: 15 September 2016Examining Board: Professor Piero Gottardi, EUI, Supervisor; Professor...
We examine whether the Centralized-Counterparty Clearinghouse (CCP) behind the General Collateral (G...
We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of...
This paper attempts to assess the economic significance and implications of collateralization in dif...
The 2007–09 financial crisis drew attention to the nature and consequences of connections among fina...
Using a novel dataset, we study intraday trades of overnight general collateral repurchase agreement...
This paper introduces a methodology to estimate the re-use of collateral based on actual transaction...
This paper sketches the key differences in the EU and the U.S. repo markets to inform the policy rec...
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