Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk
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References listed on IDEAS
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More about this item
KeywordsShadow banking; Collateral segregation; Credit rating migration; Margin call;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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