分析亚洲国家抵押品回购折价情况

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2023-01-20 DOI:10.21098/bemp.v25i4.2417

I. Gunadi, Aryo Sasongko, Dian Fitriarni Sari

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引用次数: 0

摘要

研究了回购削价的决定因素，建立了回购削价的计算模型。担保证券是政府和企业的固定收益，我们考察了印度尼西亚、马来西亚、泰国和香港的决定因素。运用广义自回归-条件异方差(GARCH)过程，我们发现长期记忆收益、流动性和货币的变化会影响减记。然后，我们引入了使用历史和参数风险价值(VaR)的理发模型，使借款人的负担与α-百分位抵押损失相同。当借款人违约时，贷款人获得抵押品和折价，以补偿抵押品价格的变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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, liquidities, 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.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks