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Repo Haircuts and Economic Capital: A Theory of Repo Pricing

Year
2022
Secondary
https://storage.googleapis.com/public-quant/integrate/papers/Repo%20Haircuts%20and%20Economic%20Capital_%20A%20Theory%20of%20Repo%20Pricing.pdf
Download
https://mega.co.nz/#!3aJHxCCC!mB5YElCvbREvtvgWZfv9hqhU95FN0KPDfmyXcOyIi9Q
Abstract
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an
Author
Wujiang Lou
View
https://sci-hub.st/10.21314/jcr.2021.019
Journal
https://arxiv.org/abs/1604.05404
Published
2022/08/01
Retrieved
8/2/2022, 2:57:07 PM
DOI
10.21314/jcr.2021.019
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