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Risks in Repo and
Securities lending

An article by Sergey Kopylov (International Moscow Bank), PhD (maths and physics) Reverse Repo risk assessment ("Securities market", 23-24, December 2005) (.rar - 250Kb)
The article examines risk management models in Repo operations, performed for the purpose of refinancing counterparty (in contrast to operations on closing short positions) and based on counterparty limits and capital distribution. In first instance a Repo deal is presented as an analog of European Put Option, where a Black-Showels model is used and a correction coefficient is calculated for settlement of limits use. In the second instance Value at Risk (VAR) is made and a comparative efficiency of Repos and investments in securities on the basis of capital required to cover the risks is calculated and evaluated by Bazel II methodology and a technique designed by the Bank of Russia.
An article about risks in Repo deals by M. Kudryavceva, PhD (.rar - 200Kb)

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