collaborators

1 paper

q-fin.RM2018

Collateral Unchained: Rehypothecation networks, concentration and systemic effects

Duc Thi Luu, Mauro Napoletano, Paolo Barucca +1

We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and us…