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Robustness of repo markets with full rehypothecation
					
 Dec 7, 2022 
 3:30PM to 5:00PM

									

				

					Event Categories   2022 Seminars and   CSE Seminars Page
				

			


	

	

		

			

				

					

						

														

															

						

						

	

		


	Date/Time

	Date(s) - 07/12/2022
3:30 pm - 5:00 pm







Speaker: Hassan Chehaitli


Topic: Robustness of repo markets with full rehypothecation


Date of Presentation: Wednesday, Dec 7, 2022


Location:  BSB 121 & Online


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 general collateral, taken to be a highly liquid government debt security.


Bio:


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.