) 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 …

I develop a dynamic model of collateral circulation in a repo market, where financial institutions borrow from and lend … to one another against illiquid collateral. The model emphasizes an important tradeoff between economic efficiency and … financial stability. On one hand, easier collateral circulation makes repos liquid and increases steady state investment through …

The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a … significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained … collateral spreads arise in equilibrium if unsecured markets are sufficiently tight, unsecured rates spike down, or security …

collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash …-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing …-arbitrage theory sheds light on the evolution of collateral spreads over time …

Value-at-Risk (VaR) criterion, and we then study the emergence of collateral hoarding cascades in different networks. Our …We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple … model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral …

failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate … between short-term repo and long-term investments that banks need to finance. The resulting rollover risk in repo financing …

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 …

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 …

collateral risk, while the stability rate has little ability to stabilize the coin. The introduction of safe collateral types has … stablecoin. DAI works through a set of autonomous smart contracts, in which users deposit cryptocurrency collateral, typically …, we show that DAI price covaries negatively with returns to risky collateral. The peg-price volatility is related to …

haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the … and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given … to the borrower is the market value of the collateral, reduced by an amount termed haircut (or margin). The haircut …