Format:
1 Online-Ressource (circa 27 Seiten)
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ISBN:
9781484381922
Series Statement:
IMF working paper WP/18, 228
Content:
Changes to the regulatory system introduced after the financial crisis include not only mandatory clearing of OTC derivatives at central counterparties and margining of uncleared derivatives, but also prudential measures, including notably a 'Liquidity Coverage Ratio' which obliges firms to set aside high-quality liquid assets (HQLA) as a stopgap against anticipated cash outflows. We examine factors which may affect the demand for HQLA in a severely stressed market following a hypothetical default of a major clearing member. Immediately following a major default, the amount of HQLA demanded by the whole market would spike. We estimate the size of the spike and draw conclusions as to whether the depth of the market is adequate to absorb it
Additional Edition:
Erscheint auch als Druck-Ausgabe Turing, Dermot The Morning After--The Impact on Collateral Supply After a Major Default Washington, D.C. : International Monetary Fund, 2018 ISBN 9781484381922
Language:
English
Keywords:
Graue Literatur
DOI:
10.5089/9781484381922.001
URL:
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Author information:
Kumar, Manmohan S.
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