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

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



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Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes Damiano Brigo, Massimo Morini, Andrea Pallavicini ebook
ISBN: 9780470748466
Format: pdf
Page: 464
Publisher: Wiley


Nov 6, 2013 - IRM calculates initial margin, risk weighted assets and credit value adjustments in multiple scenarios so that trades can be structured to make the most efficient use of capital and funding. The fund assumes all the liabilities of an insolvent bank.6 The investment into the illiquid asset does not produce any return at t = 1. These scenario calculations are powered by Markit's risk calculation engine, .. Asset managers and hedge funds alike. RGE's comprehensive daily analysis covers 50 economies and all major asset classes including commodities, currencies, rates, credit and equities. The CCP also For example, a US dollar transaction that stipulates the posting of dollar cash collateral should be discounted using the federal funds rate. The need for financial institutions to have real-time access to their exposures, pledged collateral and collateral requirements across all asset classes and counterparties is no trivial matter. The CCP will, it is assumed, aggregate all positions across instruments and asset classes for each clearing party. Moreover, the illiquid asset is non-tradable. Nov 10, 2009 - Interest rates decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the volatility of interest rates in secured markets. Oct 31, 2011 - The CCP is designed to reduce and help manage credit risk in derivative transactions – the risk that each participant takes on the other side to perform their obligations (known as “counterparty risk”). We use the model to discuss various ..





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