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Analyzing Collateral Repo Haircuts In Asian Countries
We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidity, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2022 |
|---|---|
| Edisi | Volume 25, Number 4, 2022 |
| Subjek | Asian countries Repo haircuts Repo analysis |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 690 p. |
| Info Detail Spesifik | Bulletin Of Monetary Economics And Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |