Determinants of repo haircuts and bankruptcy

Detalhes bibliográficos
Autor(a) principal: Bottazzi, Jean-Marc
Data de Publicação: 2017
Outros Autores: Páscoa, Mário Rui, Ramírez, Guillermo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/25337
Resumo: Variations in repo haircuts play a crucial role in leveraging (or deleveraging) in security markets, as observed in the two major economic events that happened so far in this century, the US housing bubble that burst into the great recession and the European sovereign debts episode. Repo trades are secured but recourse loans. Default triggers insolvency. Collateral may be temporarily exempt from automatic stay but creditors' final reimbursement depends on the bankruptcy outcome. We show examples of bankruptcy equilibria. We infer how haircuts are related to asset or counterparty risks whenever a bankruptcy equilibrium exists.
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spelling Determinants of repo haircuts and bankruptcyVariations in repo haircuts play a crucial role in leveraging (or deleveraging) in security markets, as observed in the two major economic events that happened so far in this century, the US housing bubble that burst into the great recession and the European sovereign debts episode. Repo trades are secured but recourse loans. Default triggers insolvency. Collateral may be temporarily exempt from automatic stay but creditors' final reimbursement depends on the bankruptcy outcome. We show examples of bankruptcy equilibria. We infer how haircuts are related to asset or counterparty risks whenever a bankruptcy equilibrium exists.Nova SBERUNBottazzi, Jean-MarcPáscoa, Mário RuiRamírez, Guillermo2017-11-14T08:29:09Z2017-11-132017-11-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/25337enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:17Zoai:run.unl.pt:10362/25337Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:15.332478Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Determinants of repo haircuts and bankruptcy
title Determinants of repo haircuts and bankruptcy
spellingShingle Determinants of repo haircuts and bankruptcy
Bottazzi, Jean-Marc
title_short Determinants of repo haircuts and bankruptcy
title_full Determinants of repo haircuts and bankruptcy
title_fullStr Determinants of repo haircuts and bankruptcy
title_full_unstemmed Determinants of repo haircuts and bankruptcy
title_sort Determinants of repo haircuts and bankruptcy
author Bottazzi, Jean-Marc
author_facet Bottazzi, Jean-Marc
Páscoa, Mário Rui
Ramírez, Guillermo
author_role author
author2 Páscoa, Mário Rui
Ramírez, Guillermo
author2_role author
author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Bottazzi, Jean-Marc
Páscoa, Mário Rui
Ramírez, Guillermo
description Variations in repo haircuts play a crucial role in leveraging (or deleveraging) in security markets, as observed in the two major economic events that happened so far in this century, the US housing bubble that burst into the great recession and the European sovereign debts episode. Repo trades are secured but recourse loans. Default triggers insolvency. Collateral may be temporarily exempt from automatic stay but creditors' final reimbursement depends on the bankruptcy outcome. We show examples of bankruptcy equilibria. We infer how haircuts are related to asset or counterparty risks whenever a bankruptcy equilibrium exists.
publishDate 2017
dc.date.none.fl_str_mv 2017-11-14T08:29:09Z
2017-11-13
2017-11-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/25337
url http://hdl.handle.net/10362/25337
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Nova SBE
publisher.none.fl_str_mv Nova SBE
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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