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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 Damiano Brigo, Massimo Morini, Andrea Pallavicini ebook
Publisher: Wiley
Format: pdf
Page: 464
ISBN: 9780470748466

Moreover, the illiquid asset is non-tradable. May 24, 2013 - The fact that commercial paper investors are intolerant of risk is documented by Covitz, Liang and Suarez, in “The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market” (2012). 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. Sep 17, 2013 - The US and EU rules implementing Basel III follow many aspects of Basel III closely, but there are major differences in approach in several key areas. Jan 8, 2014 - Rule 15c3-1 prescribes a net liquid assets test that is designed to require a broker-dealer to maintain sufficient liquid assets to meet all obligations to customers and counterparties and have adequate additional resources to wind-down spreads; (2) securities-related research; (3) internal or external credit risk assessments; (4) default statistics; (5) inclusion in an index; (6) priorities and enhancements; (7) price, yield and/or volume; and (8) asset class-specific factors. 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. This is consistent with the reports of commentators on the FSB's money market fund proposals that there was in fact no run on MMFs but rather a flight to quality as investors shifted from prime MMFs to government-debt MMFs. Nov 7, 2011 - My recent post on the current state of counterparty credit risk in the global financial system has already elicited two excellent reponses, and I am reliably assured that more are coming. Nov 14, 2011 - Nonetheless, while the headlines about the Volcker Rule have focused consistently on the details of those limitations, there are many current U.S. The scarcity of underlying collateral may amplify the volatility of interest rates in secured markets. 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. We use the model to discuss various .. This blog post provides a high-level overview RC is calculated at the netting set level whereas PFE add-ons are calculated for each asset class within a given netting set and then aggregated. Nov 10, 2009 - Interest rates decouple across secured and unsecured markets following an adverse shock to credit risk. The first of these was As for the remaining part, generally the amount of uncollateralized exposure that Bank A has to Bank B is not correlated to Bank B's credit rating, especially if there are a large number of trades in multiple asset classes between the two banks. Mar 31, 2014 - The Basel Committee has finalized a standardized, non-internal-model-based method for calculating counterparty credit risk exposures associated with OTC derivatives, exchange-traded derivatives, and long settlement transactions. Bank activities with respect to hedge funds that will still be permitted under the Volcker Rule.