Analysis of EU market liquidity & collateral haircuts using kdb+

9 Nov 2017 | , ,

Haircuts are supposed to increase in periods of raising volatility and decrease in periods of declining volatility on a micro-prudential level. However, the pro-cyclical tendencies of haircuts and their significant consequences to market-wide liquidity are subject to an ongoing discussion among academics and regulatory authorities. A paper written by Florian Glaser and Sven Panz for the European Systemic Risk Board examines the relationship between market wide illiquidity and collateral haircuts.