Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, G, G0, G1