An evaluation of value-at-risk with GARCH vis-a-vis value-at-risk with EWMA or EVT in the valuation of haircuts: Evidence from the repo market in the Philippines

• Main Author: Cao, Harold C.
• Format: text
• Language: English
• Published: Animo Repository 2019
• Subjects: Repurchase agreements > Philippines; GARCH model; Exponentially weighted moving average; Extreme value theory; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_masteral/7157
• Institution: De La Salle University

The domestic repo market has been on and off. There were already rules and regulations in place for the domestic repo trading, however, the said rules and regulations must further be developed, strengthened and tested, particularly on the use of haircuts in repo trading. Currently, the domestic repo...