Search: VAR models

Sort by: Date Relevance
21–30 of 2,349 search results for VAR models

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Standard 6: Margin | Appendix B1.2 ASX Clear (Futures) | 2012/13 Assessment of ASX Clearing and Settlement Facilities

9 Mar 2023
The Bank will also monitor annual validation and ongoing review of margin and stress-testing models under the ASX Model Validation Standard, and the implementation and further enhancement of the new ... ASX Clear (Futures) margins OTC derivatives
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/asx-clear-futures/standard-06.html

List of tables | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market Infrastructures…

9 Mar 2023
In order to eliminate principal risk, ASX Clear employs the DvP model 3 settlement mechanism in ASX Settlement. ... For transactions involving securities transfers, ASX Clear (Futures) employs the DvP model 1 settlement mechanism in Austraclear.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/tables.html

Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…

9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... 6). In the case of the NZD IRD contracts, ASX uses the existing VaR
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-06.html

Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…

9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... 6). In the case of the NZD OTC IRD contracts, ASX uses the existing
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-06.html

Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…

9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... ASX made changes to its model validation framework during the
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-06.html

Standard 6: Margin | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…

9 Mar 2023
CME will introduce a stressed-VaR component to its margin model to further reduce the potential for procyclicality; pending regulatory approval, CME expects to implement this in the second half of ... CME performs sensitivity analysis for margin models
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-6.html

Special Topic – ASX Strategic Initiatives | 2012/13 Assessment of ASX Clearing and Settlement Facilities

9 Mar 2023
ASX introduced backtesting arrangements in July 2013 and has plans in place to further develop its other model validation processes. ... DvP model 3). The settlement arrangements for the new facility would be acceptable only if the facility remained
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/special-topic.html

The Effect of Credit Constraints on Housing Prices: (Further) Evidence from a Survey Experiment

31 Jan 2023 RDP 2023-01
Tom Cusbert
segments. I then describe a heterogeneous user cost model that can interpret the empirical features of the data, before estimating regression models and using them to simulate the response of housing ... I estimate linear regression models using
https://www.rba.gov.au/publications/rdp/2023/2023-01/full.html
See 10 more results from "RDP 2023-01"

References

3 Jan 2023 RDP 2022-09
Matthew Read
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
See 13 more results from "RDP 2022-09"

New Measures of Financial Stress from Non-traditional Data

8 Dec 2022 Bulletin – December 2022
Finn Lattimore and Max Zang
Household and business financial stress has significant implications for financial stability and monetary policy.
https://www.rba.gov.au/publications/bulletin/2022/dec/new-measures-of-financial-stress-from-non-traditional-data.html