英文标题：
《Repo Haircuts and Economic Capital: A Theory of Repo Pricing》
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作者：
Wujiang Lou
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最新提交年份：
2020
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英文摘要：
A repurchase agreement lets investors borrow cash to buy securities. Financier only lends to securities\' market value after a haircut and charges interest. Repo pricing is characterized with its puzzling dual pricing measures: repo haircut and repo spread. This article develops a repo haircut model by designing haircuts to achieve high credit criteria, and identifies economic capital for repo\'s default risk as the main driver of repo pricing. A simple repo spread formula is obtained that relates spread to haircuts negative linearly. An investor wishing to minimize all-in funding cost can settle at an optimal combination of haircut and repo rate. The model empirically reproduces repo haircut hikes concerning asset backed securities during the financial crisis. It explains tri-party and bilateral repo haircut differences, quantifies shortening tenor\'s risk reduction effect, and sets a limit on excess liquidity intermediating dealers can extract between money market funds and hedge funds.
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中文摘要：
回购协议允许投资者借入现金购买证券。金融家只会在剪发和收取利息后将证券的市场价值借贷出去。回购定价的特点是其令人费解的双重定价措施：回购折价和回购价差。本文通过设计折价以达到高信用标准，建立了回购折价模型，并将回购违约风险的经济资本确定为回购定价的主要驱动因素。得到了一个简单的回购价差公式，该公式将价差与减记成负线性关系。希望将全部融资成本降至最低的投资者可以以折减和回购利率的最佳组合进行结算。该模型从经验上再现了金融危机期间资产支持证券的回购减记。它解释了三方和双边回购折价差异，量化了缩短期限的风险降低效果，并对中间交易商在货币市场基金和对冲基金之间可以提取的过剩流动性设定了限制。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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