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q-fin.PR2017
Haircutting Non-cash Collateral
Wujiang Lou
Haircutting non-cash collateral has become a key element of the post-crisis reform of the shadow banking system and OTC derivatives markets. This article develops a parametric hair…
q-fin.PR2017
Discounting with Imperfect Collateral
Wujiang Lou
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral…