天同學(xué)
2020-10-09 23:42haircut計(jì)算leverage的方法不太理解 比如以下這個(gè)例子 Typically, the total amount of the deposit will be some amount less than the value of the underlying asset, with the difference called a “haircut”. For example, if an asset has a market value of $100 and a bank sells it for $80 with an agreement to repurchase it for $88, then we would say that the repo rate is 10 percent(=88-80 / 80), and the haircut is 20 percent (100 – 80 / 100). If the bank defaults on the promise to repurchase, then the investor keeps the collateral. 按照講義中的公式 杠桿是五倍嗎
所屬：FRM Part II > Liquidity and Treasury Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-10-12 16:33
該回答已被題主采納
同學(xué)你好，其實(shí)你寫的這個(gè)例子，老師沒有太看懂，干脆重新把這個(gè)知識(shí)點(diǎn)跟你說一下吧
比如，借100，實(shí)際上只借到90，說明自有出資是10，那么haircut就是10%，杠桿就是=100/10=10倍；
借100，實(shí)際上只借到50，說明自有出資是50，haircut就是50%，杠桿就是=100/50=2倍；
借100，實(shí)際上只借到20，說明自有出資是80，haircut就是80%，杠桿就是=100/80=1.25倍；
haircut越高，杠桿就越小；杠桿的好處，無非就是放大收益，同時(shí)它也能放大風(fēng)險(xiǎn)，因此杠桿是雙刃劍
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