Repo Markets, Counterparty Risk,and the 2007/2008 Liquidity Crisis
|Year of publication:||
|Authors:||Ewerhart, Christian ; Tapking, Jens|
|Institutions:||Swiss National Centre of Competence in Research North South <Bern>|
|Subject:||Kreditrisiko | Sicherheit | Security | Liquidität | Nutzenmaximierung|
- I. The basic model
- II. Optimal collateral
- III. Feasibility of the market transaction
- IV. Central bank collateral and haircuts
- V. Welfare implications
- VI. Conclusion
- Appendix: Proofs
Vries Robbé, Jan Job de, (2005)
Sovacool, Benjamin K., (2011)
Kleist, Karsten E. von, (2010)
- More ...
Ewerhart, Christian, (2009)
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an innovation, we allow for two-sided counterparty risk. In line with empirical observations, it is shown that the most liquid and least risky assets are used as ...
Ewerhart, Christian, (2007)
Ewerhart, Christian, (2008)
- More ...