Haircuts
Europe leaves IM haircutting in CCP recovery crosshairs
No explicit ban in parliamentary text; banks say method could spark exodus from stricken CCPs
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk