DEEV, Oleg and Lukasz PROROKOWSKI. Financial Collateral Haircuts Model (FHM) and Currency Depegs. Brno: Institute of Financial Complex Systems, 2018, 9 pp. 1.
Other formats:   BibTeX LaTeX RIS
Basic information
Original name Financial Collateral Haircuts Model (FHM) and Currency Depegs
Authors DEEV, Oleg (643 Russian Federation, belonging to the institution) and Lukasz PROROKOWSKI (616 Poland, guarantor, belonging to the institution).
Edition Brno, 9 pp. 1. 2018.
Publisher Institute of Financial Complex Systems
Other information
Original language English
Type of outcome Research report
Field of Study 50206 Finance
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/00216224:14560/18:00104588
Organization unit Faculty of Economics and Administration
Keywords in English collateral haircats; currency depeg
Tags International impact
Changed by Changed by: Oleg Deev, Ph.D., učo 387462. Changed: 23/9/2019 11:04.
Abstract
The purpose of this report is to investigate the assumption that the Financial Collateral Haircuts Model (FHM) remains reactive to the situation of a depeg for a currency of the underlying collateral. The analysis reported in this document serves to show how the FHM reacts to a scenario where a depeg occurs and if the model adequately captures the risks associated with a depeg (FX jumps). Although the FHM is not explicitly developed to model jumps in the currency exchange ratios (FX jumps), it is assumed that the model already incorporates such jumps through its design. Thus, the analysis tests whether the FHM is sensitive to an FX jump associated with a depeg scenario. Additionally, the report determines whether a methodological overlay or an estimate override is required in the case of pegged currencies. With the diminished sensitivity, the FHM is at risk of not reacting fast enough and adequately to a depeg scenario.
PrintDisplayed: 24/7/2024 12:21