Quantitative Analysis of Haircuts: Evidence from the Japanese Repo and Securities Lending Markets
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Cited by:
- Sangyup Choi & Inkee Jang & Kee-Youn Kang & Hyunpyung Kim, 2024.
"Haircut, Interest Rate, and Collateral Quality in the Tri-Party Repo Market: Evidence and Theory,"
Working Papers
11, University of Liverpool, Department of Economics.
- Sangyup Choi & Inkee Jang & Kee-Youn Kang & Hyunpyung Kim, 2024. "Haircut, Interest Rate, and Collateral Quality in the Tri-Party Repo Market: Evidence and Theory," Working papers 2024rwp-229, Yonsei University, Yonsei Economics Research Institute.
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More about this item
Keywords
Securities Financing Transactions; Repurchase Agreement; Haircut; Network Analysis;All these keywords.
JEL classification:
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-10-03 (Banking)
- NEP-NET-2022-10-03 (Network Economics)
- NEP-RMG-2022-10-03 (Risk Management)
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