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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

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. Mar 29, 2012 - Learn how regulators across the globe are defining new regulations like Dodd-Frank Act, EMIR, Basel III to bring about greater transparency and enhanced risk management to OTC derivatives markets. Setting up connectivity to several SEFs for trading in different asset classes; Real-time price streaming and response management for different trading models - Request for Quotes (RFQ), CLOB orders, etc. 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. Dec 25, 2010 - Because FDIC insurance does not cover repos, the safety of the bank (typically a dealer bank) is insured privately with the collateral, which is valued at market prices. The increasing risk Optimization, Limited, Automated across all asset types In the case of triparty collateral management, the process is outsourced to a neutral agent to perform with a view to manage Reduce Operational, Settlement, Market and Liquidity risks. 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. Average repo-haircut index for structured bonds. 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. Feb 9, 2014 - Counterparty Credit Risk, Collateral And Funding -With Pricing Cases For All Asset Classes Brigo The Bank Credit Analysis Handbook, Second Edition: A Guide For Analysts, Bankers, And Investors Golin. Sep 10, 2013 - Over 330 market participants have cleared with CME, including a large number of hedge funds, insurance companies, swap dealers, asset managers and regional banks. In the pre-crisis period, haircuts were zero for all asset classes; this is consistent with the repo market being based on information-insensitive assets backing deposits. Feb 24, 2012 - Collateralization of assets gives lenders a sufficient level of reassurance against default risk, which allows loans to be issued to individuals / companies and corporate with less than optimal credit history and / or debt rating. 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. Depositors take delivery of the collateral so it is in their possession.