Analyzing Collateral Repo Haircuts In Asian Countries

Authors

Iman Gunadi, Bank Indonesia, Jakarta, IndonesiaFollow
Aryo Sasongko, Bank Indonesia, Jakarta, IndonesiaFollow
Dian Fitriarni Sari, Bank Indonesia, Jakarta, IndonesiaFollow

Document Type

Article

Abstract

We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidity, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change

Recommended Citation

Gunadi, Iman; Sasongko, Aryo; and Sari, Dian Fitriarni (2022) "Analyzing Collateral Repo Haircuts In Asian Countries," Bulletin of Monetary Economics and Banking: Vol. 25: No. 4, Article 1.
DOI: https://doi.org/10.21098/bemp.v25i4.2417
Available at: https://bulletin.bmeb-bi.org/bmeb/vol25/iss4/1

First Page

495

Last Page

530

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Bank Indonesia