央行减持与交易对手风险管理的定量方法

A Quantitative Approachto Central Bank Haircuts Yuji Sakurai WP/25/225 progress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers are IMF Working Paper Monetary and Capital Markets Department AQuantitative Approach to Central Bank Haircuts and Counterparty Risk Management Authorized for distribution byRomain Veyrune IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of the ABSTRACT:This paper presents a comprehensive framework for determining haircuts on collateral used incentral bank operations, quantifying residual uncollateralized exposures, and validating haircut models usingmachine learning. First, it introduces four haircut model types tailored to asset characteristics—marketable ornon-marketable—and data availability.It proposes a novel model for setting haircuts in data-limitedenvironment using a satallite cross-country model.Key principles guiding haircut calibration include non-procyclicality, data-drivenness, conservatism, and the avoidance of arbitrage gaps. The paper details modelinputs such asValue-at-Risk(VaR) percentiles, volatility measures, and timetoliquidation. Second, it proposes Contents Introduction.........................................................................................................................................................3Related Literature................................................................................................................................................6Setting Haircuts with a Tail Risk Measure........................................................................................................7Protecting Central Bank’s Balance Sheet with Tail Risk Measures...............................................................7Value-at-Risk vs. Expected Shortfall..............................................................................................................8Mathematical Definition of Haircuts................................................................................................................8Determining VaR Percentile...........................................................................................................................9External Factors Not Accounted for Within the Modeling Framework............................................................9An Illustrative Toy Model................................................................................................................................9Dependance Between Collateral Volatility and Counterparty Default Risk..................................................10 Marketable Assets in a Data-Rich Environment.............................................................................................15Overview of DASV Model.............................................................................................................................15Duration Approximation................................................................................................................................16Stressing Volatility........................................................................................................................................17Time to Liquidation.......................................................................................................................................18Ensuring Consistency in Haircuts Models for Relevant Markets..................................................................18 Marketable Assets in a Data-Limited Environment........................................................................................22Overview of DACR Model............................................................................................................................22Constructing Sovereign Spreads with Cross-Country Regression...............................................................23Application to a Hypothetical Country..........................................................................................................25 Non-Marketable Assets in a Data-Rich Environment....................................................................................27Overview of ASRFA Model...........................................................................................................................27Description of Original ASRF Model.............................................................................................................27Adjusting Parameters in ASRF Model..........................................................................................................29 Non-Marketable Assets in a Data-Limited Environment...............................................................................31Case I: Balance Sheet Data is Available..................................