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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Antoine Martin

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Working Papers

November 2012Repo and Securities Lending
with Tobias Adrian, Brian Begalle, Adam Copeland: w18549
We provide an overview of the data required to monitor repo 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 and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Published: Repo and Securities Lending, Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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