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
Publisher: Wiley
Format: pdf
ISBN: 9780470748466
Page: 464


These sales, if sufficiently widespread, can exacerbate the price falls caused by declining credit quality. 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 CCP will, it is assumed, aggregate all positions across instruments and asset classes for each clearing party. Nationwide depositor preference and the distribution of liability holders' risk exposures,. Feb 5, 2014 - For instance, if a government bond falls in value, perhaps due to sovereign risk, then all those parties who have used that bond as collateral have to find extra funds to meet the resulting collateral calls. Apr 23, 2007 - The mean asset volatility of the 100 largest bank holding companies (BHCs) rose from 1.76 percent during the. 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”). A systemic To see this, suppose that two parties have agreed that only a certain class of assets can be posted, such as bonds rated single A or better. 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. 1986–89 period to 6.09 percent during the 1998–2001 period.1 As shown in Figure 2, asset volatilities also became more 1. The combination of banking and commerce,.





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