A framework for collateral risk control determination

Research, Preprint OPEN
Didier Cossin; Zhijiang Huang; Daniel Aunon-Nerin; Fer nando González;
(2002)
  • Publisher: Frankfurt a. M.: European Central Bank (ECB)
  • Subject: E50 | G21 | G10 | Collateral; Repurchase Transactions; Default Risk; Central Banks; Monetary Policy Operations | E58
    • jel: jel:E58 | jel:G21 | jel:G10 | jel:E50
      ddc: ddc:330

This paper derives a general framework for collateral risk control determination in repurchase transactions or repos. The objective is to treat consistently heterogeneous collateral so that the collateral taker has a similar risk exposure whatever the collateral pledged... View more
  • References (33)
    33 references, page 1 of 4

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