Home  Journals  Finance and Credit  6(390) - 2010 February

Management of repo dealing risks

Available online: 12 February 2010

Subject Heading: Risk-management

JEL Classification: 

This work is devoted to the practice of risk management in repo transactions. We consider the notion of repo transactions, variety, and the corresponding specific risks. Separate place in the work is paid to modern risk management practices in the commission of this type of transaction. Author's proposed method of calculating the discount for reverse repurchase transactions, as an example of real data produced calculations discounts for debt and equity securities.

Keywords: bank risks, market risks, repurchase agreement, REPO, haircut

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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