Technical paper/Collateral
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.
Smart derivative contracts: detaching transactions from counterparty credit risk
Introducing deterministic termination rules to eliminate counterparty risk in smart derivatives
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
Reducing margin procyclicality at central counterparties
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
Initial margin with risky collateral
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
I want security: stylized facts about central counterparty collateral and its systemic context
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
A map of collateral uses and flows
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
The effective supply of collateral in Australia
This paper attempts to quantify the “effective” supply of collateral assets in Australia by applying a measure of supply that adjusts outstanding issuance for two important features of the collateral market.
The role of collateral in supporting liquidity
This paper focuses on the use of high-quality assets for collateral purposes.
Mobilization of collateral in Germany as a reflection of monetary policy and financial market developments
This paper describes and analyzes developments in the market value of marketable assets submitted as collateral in Germany and the Eurosystem against the backdrop of the financial market crisis.
Collateral flows and balance sheet(s) space
This paper looks at securities-lending, derivatives and prime-brokerage markets as suppliers of collateral.
Impact of monetary policy on collateral reuse
The authors provide theoretical microfoundations to understand the impact of monetary policy on markets characterized by collateral reuse.
Collateral chains and incentives
The authors model the asymmetry between collateral values to the parties in the collateral chain. The paper highlights that collateral reuse can be socially beneficial if the costs of misallocation are not significant.
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
A bill of goods: central counterparties and systemic risk
Volume 2, Issue 4 (2014)
Stuck with collateral
Stuck with collateral