Financial Collateral Haircuts Model (FHM) and Currency Depegs

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00104588" target="_blank" >RIV/00216224:14560/18:00104588 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Financial Collateral Haircuts Model (FHM) and Currency Depegs

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Financial Collateral Haircuts Model (FHM) and Currency Depegs

Popis výsledku anglicky

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.

Druh

V_souhrn - Souhrnná výzkumná zpráva

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Počet stran výsledku

9

Místo vydání

Brno

Název nakladatele resp. objednatele

Institute of Financial Complex Systems

Verze

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