Detailed Information on Publication Record
2018
Financial Collateral Haircuts Model (FHM) and Currency Depegs
DEEV, Oleg and Lukasz PROROKOWSKIBasic 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
Language
English
Type of outcome
Výzkumná zpráva
Field of Study
50206 Finance
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
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
Změněno: 23/9/2019 11:04, Oleg Deev, Ph.D.
Abstract
V originále
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.