A Framework for Collateral Risk Control Determination

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

    [1] Almgren, R., and N. Chriss, 1998, ”Optimal Liquidation” working paper, The University of Chicago.

    [2] Bangia, A., F. X. Diebold, T. Schuermann, and J. D. Stroughair, 1998, “Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management”, working paper, Oliver, Wyman & Company, University of Pennsylvania.

    [3] Bester, H., 1987, ”The Role of Collateral in Credit Markets with Imperfect Information” European Economic Review, 31, 887-899.

    [4] Bester, H. and M. Hellwig, 1987, ” Moral Hazard and Credit Rationing: An Overview of the Issues”, in G. Bamberg and K. Spreaman, eds. ”Agency Theory, Information and Incentives”, Heidelberg: Springer Verlag.

    [5] Binseil.U. 2001. Equilibrium bidding in the Eurosystem's open market operations: a model of over-and underbidding. Memo

    [6] Brace, A., D. Gatarek, and M. Musiela, 1997, “The market model of interest rate dynamics”, Mathematics of Finance, 7, 127-154.

    [7] Chen, N.K., 2001, ”Bank Net Worth, Asset Prices and Economic Activity”, Journal of Monetary Economics, 48, 415-436.

    [8] Cossin, D., and T. Hricko, 2000, “An Analysis of Credit Risk With Risky Collateral: A Methodology for Haircut Determination”, working paper, University of Lausanne and FAME.

    [9] Cossin, D., and H. Pirotte, 2000, Advanced Credit Risk Analysis. John Wiley & Sons, Ltd.

    [10] Das, S., 1998, ”Poisson-Gaussian Processes and the Bond Markets”, NBER working paper (w6631).

  • Metrics
Share - Bookmark