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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
ISBN: 9780470748466
Page: 464

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. 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. These scenario calculations are powered by Markit's risk calculation engine, .. Since the in-the-money counterparty is paying interest on posted cash collateral, the counterparty is essentially funding the position with the overnight rate. Bank activities with respect to hedge funds that will still be permitted under the Volcker Rule. RGE's comprehensive daily analysis covers 50 economies and all major asset classes including commodities, currencies, rates, credit and equities. Jul 24, 2013 - Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes | by Damiano Brigo, Massimo Morini and Andrea Pallavicini | ISBN: 9780470748466 | Wrong Way Risk (WWR) for Interest Rates. Jul 30, 2012 - Moving to a more comprehensive view of risk could allow banks to better assess the risks involved in transactions and the potential capital charges, as well as the potential rates of return in the new global regulatory regime. 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. Asset managers and hedge funds alike. 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. This methodology made This process protects the positive counterparty in case of default. Feb 16, 2011 - This methodology was based on the belief all market participants had equal credit risk, the firm could fund itself with LIBOR and that the embedded credit risk for rates of different maturities was negligible. 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. 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. Nov 18, 2013 - And asset encumbrance is fostered by the implicit public guarantees against credit risk that have been provided in the past to too-big-to-fail banks and the guarantees against liquidity risk are still being provided by central banks.