Search Results - subject:"haircut"

Margin and funding liquidity : an empirical analysis on the covered interest parity in Korea

Jeong, Daehee - 2010

During the global financial turmoil in 2007-2008, deviation from the covered interest parity (CIP) between the Korean won and US dollar through the foreign exchange swap has escalated in its magnitude beyond 1,000bp in November 2008, and it still persists around 100bp level. In this paper, we...

Persistent link: https://www.econbiz.de/10012123612

Risk-Taking and Asset-Side Contagion in an Originate-to-Distribute Banking Model

Pinna, A. - Centro Ricerche Nord Sud (CRENoS) - 2010

During the Subprime crisis the entire banking industry risked collapsing under an unprecedented lack of liquidity. This work tries and find what channel allowed a relatively small systemic shock, the increased mortgage delinquency in the US housing market, to spread worldwide with such a...

Persistent link: https://www.econbiz.de/10008679916

Limiting taxpayer "puts" : an example from central counterparties

Kumar, Manmohan S. - In: The journal of financial market infrastructures 3 (2015) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10011309735

Sovereign default, debt restructuring, and recovery rates : was the Argentinean "haircut" excessive?

Edwards, Sebastian - In: Open economies review 26 (2015) 5, pp. 839-867

Persistent link: https://www.econbiz.de/10011481770

The impact of systemic and illiquidity risk on financing with risky collateral

Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202

Persistent link: https://www.econbiz.de/10010486947

The impact of systemic and illiquidity risk on financing with risky collateral

Lillo, Fabrizio; Pirino, Davide - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 180-202

to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut … haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the … risk associated to volatility. However, other risk factors should be included in the haircut and a severe undervaluation of …

Persistent link: https://www.econbiz.de/10011190659

Optimal fiscal adjustment and the commitment-to-forgive issue

Gonçalves, Carlos Eduardo; Guimaraes, Bernardo - Departamento de Economia, Faculdade de Economia, … - 2012

lead to higher repayment to the creditor, and thus to a smaller haircut. In consequence, the optimal tax rate set by the …

Persistent link: https://www.econbiz.de/10010875479

Unemployment and debt dynamics in a highly indebted small open economy

Heer, Burkhard; Schubert, Stefan Franz - In: Journal of International Money and Finance 31 (2012) 6, pp. 1392-1413

intertemporal welfare gain, even though unemployment increases strongly in the short-run. A 50% haircut of foreign debt …

Persistent link: https://www.econbiz.de/10010599336

Central bank haircut policy

Chapman, James; Chiu, Jonathan; Molico, Miguel - In: Annals of Finance 7 (2011) 3, pp. 319-348

Persistent link: https://www.econbiz.de/10009326714

Rollover Risk and Market Freezes

Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

sudden freezes. The model also provides an explicit formula for the haircut in secured borrowing or repo transactions. …

Persistent link: https://www.econbiz.de/10004980204