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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

"Investors" in this case means institutional investors and high net worth individuals. 10 This hypothesis is exemplified in Pirrong (2009). All asset classes are affected, including "safe" assets used by commercial banks as collateral for central bank funding. 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. Derivatives, also reported by BIS, which is the total value of all .. What they cannot do is avoid counterparty credit risk, although presumably they could reduce their exposure to asset prices by limiting their lending to the financial sector. 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. Apr 28, 2010 - counterparty risk and its inadequate management, the intransparency and complexity principle collateral can be an effective insurance against counterparty credit . Under pro rata distribution of the defaulter's assets, netting effectively transfers wealth in a default from a defaulter's other creditors to its derivatives counterparties. 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. As easily run a net short position. 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. This is why the Fed provided .. 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.