Topic: Robustness of repo markets with full rehypothecation
Date of Presentation: Wednesday, Dec 7, 2022
Location: BSB 121 & Online
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 general collateral, taken to be a highly liquid government debt security.
A researcher in Mathematical Finance joined the Mcmaster Ph.D. program in 2017 under the supervision of Professor Tom Hurd. My research is focused on systemic risk, which is risk associated with a financial network made of banks.