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@misc{1471221, author = {Deev, Oleg and Prorokowski, Lukasz}, address = {Brno}, keywords = {collateral haircats; currency depeg}, language = {eng}, location = {Brno}, publisher = {Institute of Financial Complex Systems}, title = {Financial Collateral Haircuts Model (FHM) and Currency Depegs}, year = {2018} }
TY - GEN ID - 1471221 AU - Deev, Oleg - Prorokowski, Lukasz PY - 2018 TI - Financial Collateral Haircuts Model (FHM) and Currency Depegs VL - 1. PB - Institute of Financial Complex Systems CY - Brno KW - collateral haircats KW - currency depeg N2 - 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. ER -
DEEV, Oleg and Lukasz PROROKOWSKI. \textit{Financial Collateral Haircuts Model (FHM) and Currency Depegs}. Brno: Institute of Financial Complex Systems, 2018, 9 pp. 1.
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