Search results for "Haircut"

showing 3 items of 3 documents

The Legacy and the Tyranny of Time: Exit and Re-Entry of Sovereigns to International Capital Markets

2018

We use a novel continuous-time Weibull model (without and) with a change-point in the duration dependence parameter to investigate the duration of the exit and re-entry of sovereigns to international capital markets. Relying on annual data for a large panel of countries over the period 1970-2011, we find that, as the reputation of debtor countries as good (bad) borrowers solidifies over time, those episodes are more likely to end - i.e. the "legacy of time". Debtor countries can take advantage of the "benefit of doubt" of creditors during short exit spells. However, when exits are long and the reputation as a bad borrower emerges, no more "complacency" makes it more difficult for them to bo…

Economics and EconometricsGovernment050208 financeHaircutCreditormedia_common.quotation_subject05 social sciencesSettore SECS-P/02 Politica EconomicaDuration dependenceDebtorMonetary economicsInternational capital marketMarket economyAccounting0502 economics and businessEconomicsinternational capital markets re-entry and exit continuous-time Weibull model duration dependence change-point.050207 economicsDuration (project management)FinanceReputationmedia_commonJournal of Money, Credit and Banking
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The impact of systemic and illiquidity risk on financing with risky collateral

2015

Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the 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 th…

FinanceEconomics and EconometricsSettore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e FinanziarieControl and OptimizationHaircutHaircutRepoCollateralbusiness.industryApplied MathematicsIlliquidityFinancial systemLiquidationRepurchase agreementLiquidity riskPortfolio overlapMargin (finance)Funding liquiditySystemic riskEconomicsSystemic riskDefaultSystemic risk; Illiquidity; Portfolio overlap; Repo; Haircut; LiquidationbusinessValue at risk
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Sovereign Debt Litigation in Argentina: Implications of the Pari Passu Default

2015

On 31 July 2014, Argentina defaulted on its sovereign bonds for the second time in the 21st century. It was also its eighth default since independence1; at such frequency, this was perhaps not an especially noteworthy event. What made it so extraordinary was not that another domestic financial crisis triggered the payment default, but rather an injunction handed down by a federal district court in New York. However, despite public outrage, the wider impact of this decision is likely to be limited. That is even more so if reforms that have already started continue to be implemented. The case dates back to Christmas Eve 2001, when the interim Saa administration declared a payment suspension o…

HaircutCreditormedia_common.quotation_subjectPari passuBondDebt restructuringLawDebtFinancial crisisEconomic historyDefaultBusinessFinancemedia_commonJournal of Financial Regulation
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