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

{"title":"分析亚洲国家抵押品回购折价情况","authors":"I. Gunadi, Aryo Sasongko, Dian Fitriarni Sari","doi":"10.21098/bemp.v25i4.2417","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"ANALYZING COLLATERAL REPO HAIRCUTS IN ASIAN COUNTRIES\",\"authors\":\"I. Gunadi, Aryo Sasongko, Dian Fitriarni Sari\",\"doi\":\"10.21098/bemp.v25i4.2417\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":36737,\"journal\":{\"name\":\"Buletin Ekonomi Moneter dan Perbankan\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-01-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Buletin Ekonomi Moneter dan Perbankan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21098/bemp.v25i4.2417\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Buletin Ekonomi Moneter dan Perbankan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21098/bemp.v25i4.2417","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

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。

查看原文本刊更多论文

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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