Repo and Securities Lending
20 Pages Posted: 24 Dec 2011
There are 2 versions of this paper
Repo and Securities Lending
Repo and Securities Lending
Date Written: December 1, 2011
Abstract
We provide an overview of the data requirements necessary to monitor repurchase agreements (repos) and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, then argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection should include six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
Keywords: systemic risk, repo
JEL Classification: G10, G20
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Securitized Banking and the Run on Repo
By Gary B. Gorton and Andrew Metrick
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
By Andrei Shleifer and Robert W. Vishny
-
By Andrei Shleifer and Robert W. Vishny