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rohitcoder1976 / Repo-Market-Spike-Detection-Simulator

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This repository contains the Python notebook used to simulate repo haircut rates for Treasury issues and Asset-Backed Securities (ABSs). It uses these simulations to test a "spike detection" algorithm, meant to gracefully enhance transparency into credit risk factors of ABSs.

regulation quantitative-finance simulation-modeling credit-risk repo-market asset-backed-security
  • Updated Jan 31, 2026
  • Jupyter Notebook

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