We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

some collateral requirement for financial assets; second, information among players about the structure of uncertainty is …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model …

) 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 …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures …

liquidity and stability examined. Particularly, the effects of (i) a ban on short selling (ii) a mandatory risk limit, i.e. a … Value-at-Risk limit, (iii) an introduction of a Tobin Tax, i.e. transaction tax on trading, and (iv) any arbitrary … mandatory risk limit is beneficial from every perspective, while a short selling ban – though reducing volatility – increases …