C10 - General

• Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures

  Staff Working Paper 2007-25 Alejandro García, Ramazan Gençay

  We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C10, G, G0, G00, G1, G10