9. The Liquidity Impact of Derivatives Collateral

  1. Leonard Matz and
  2. Peter Neu
  1. Louis D. Raffis

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch9

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

How to Cite

Raffis, L. D. (2006) The Liquidity Impact of Derivatives Collateral, in Liquidity Risk Measurement and Management: A practitioner's guide to global best practices (eds L. Matz and P. Neu), John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390399.ch9

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 27 OCT 2006

ISBN Information

Print ISBN: 9780470821824

Online ISBN: 9781118390399

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Keywords:

  • derivatives collateral;
  • credit risk mitigation;
  • rating triggers;
  • liquidity stress testing;
  • bank holding company

Summary

This chapter contains sections titled:

  • Introduction

  • Background on the Current Use of Derivatives Collateral

  • Collateral and Credit Risk Mitigation

  • Ratings Triggers in the Post-Enron World

  • Liquidity Stress Testing

  • Measuring the Contingent Liquidity Effects of Derivatives Collateral

  • Conclusion

  • Notes