Date/Time
Date(s) - 07/12/2022
12:30 pm - 1:30 pm

Speaker: Hassan Chehaitli (CSE PhD student)

Title: Robustness of repo markets with full rehypothecation

Abstract:
Repurchase agreements (“repos”) are a class of contracts that function like collateralized
lending and are used universally for funding by primary banks at the core of modern financial systems. This presentation will introduce a model to show that repos lower counterparty risk in “perfect” repo market that allows fully rehypothecated general collateral, which implies in particular that chains of rehypothecated collateral are not a source of systemic risk. A theoretical model presents a market design for a network of banks exchanging repos that reset every 24 hours and permit full reuse (rehypothecation) of a general collateral, taken to be a highly liquid government debt security.

Location: BSB 121 & Zoom
Zoom Meeting Info:
Meeting ID: 993 2631 5722
Passcode: 913408
https://mcmaster.zoom.us/j/99326315722?pwd=YVpYVW8yUHpyaU5RTmdjNTI4WGlPUT09