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- W3122349416 abstract "Haircutting non-cash collateral has become a key element of the post-crisis regulatory reform of the shadow banking system and OTC derivatives markets. This article develops a haircut model by expanding haircut definitions beyond the traditional value-at-risk measure and employing a double-exponential jump-diffusion model for collateral price. Haircuts are solved to target traditional credit risk measurements, such as probability of default, expected loss or unexpected loss given certain internal or external rating criteria. Computational results are presented for main equities, securitization, and corporate bonds." @default.
- W3122349416 created "2021-02-01" @default.
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- W3122349416 date "2016-01-01" @default.
- W3122349416 modified "2023-09-24" @default.
- W3122349416 title "Haircutting Non-Cash Collateral" @default.
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- W3122349416 doi "https://doi.org/10.2139/ssrn.2861194" @default.
- W3122349416 hasPublicationYear "2016" @default.
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