Is the repo a derivative?

2017-12-17 15:53:22 Viewed: 504 Downloads: 98
  • Is the repo a derivative?

      Pierre Faure

     Publisher:

    Pub: 2017-12-17 15:53:22

    Email it to me(Requires login) Download this PDF file
  • An explanation of a derivative instrument (forward, future, swap, option, etc) generally encompasses that the instrument is derived from, i.e. is based on, certain, or aspects of certain, financial market instruments, and takes its value largely from these or other instruments or markets. Explanations also refer to the underlying instrument. No textbooks regard the repurchase agreement (repo) as a derivative instrument. This article argues that the repo is derived from an existing financial market instrument (the underlying instrument) and takes its value from another segment of the financial market. As such, it should be regarded as a derivative instrument. In addition, the use of the word repo is often misrepresented, and the mathematics involved in repos is not readily available in the literature. This article endeavours to address these issues.

    Email it to me(Requires login) Download this PDF file
  • Email it to me(Requires login) Download this PDF file

  • References are not ready for this file yet, please refer to reference from the PDF file

  • Keywords

    derivative, repo


Other Informations

Top