Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes. Damiano Brigo, Massimo Morini, Andrea Pallavicini

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes


Counterparty.Credit.Risk.Collateral.and.Funding.With.Pricing.Cases.For.All.Asset.Classes.pdf
ISBN: 9780470748466 | 464 pages | 12 Mb


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Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes Damiano Brigo, Massimo Morini, Andrea Pallavicini
Publisher: Wiley



Aug 14, 2011 - Despite the crisis, however, the appetite for structured credit products is now growing, especially amongst the institutional investors with access to low cost funding (courtesy of the lax monetary policies). Feb 23, 2014 - Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series). 10 This hypothesis is exemplified in Pirrong (2009). Under pro rata distribution of the defaulter's assets, netting effectively transfers wealth in a default from a defaulter's other creditors to its derivatives counterparties. Aug 11, 2013 - Sunday, 11 August 2013 at 06:27. The interest rate differential required to accept assets of a certain risk – as the interest rate increment over the IOR. Therefore, it is logical for commercial banks to price asset credit risk – i.e. Apr 28, 2010 - counterparty risk and its inadequate management, the intransparency and complexity principle collateral can be an effective insurance against counterparty credit . The Handbook of Fixed Income Securities, Eighth Edition. Mar 20, 2014 - Understanding trade profitability becomes critical with banks now pricing all the components of a trade including the model value using the appropriate discounting curve, the Credit Valuation Adjustment (CVA), the Cost of Regulatory Capital (CRC) and most recently the Funding Accurately pricing CVA, CRC and FVA for a single trade requires taking into account all trades done with that counterparty, along with the collateral posted or received as part of any CSA. Have guided the marketplace with generalized restrictions, yet have contemplated the foreseeable circumstances where market participants utilize technology automation to analyze the cost benefit of collateral optimization on a case-by-case or counterparty basis. Derivatives, also reported by BIS, which is the total value of all .. Feb 5, 2013 - For example, hypothecation occurs when a hedge fund pledges and posts eligible collateral to its prime broker to secure a trading portfolio, with or without rights to borrow against these secured assets. You now have two derivatives positions, rather than one. Dec 3, 2013 - So instead you enter into an offsetting position with a different counterparty. Feb 4, 2014 - All other interest rates, including the federal funds rate, would be determined in the market, presumably with the risk-free interest rate set by the Fed exerting a powerful influence on them… the Fed should not shrink its balance sheet all the way back to a size that would have been .





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