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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

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. RGE's comprehensive daily analysis covers 50 economies and all major asset classes including commodities, currencies, rates, credit and equities. Issues - Regulatory Developments and EMIR slowing down credit growth in a boom, counter-cyclical capital rules should also provide the counterbalance to the financial markets' fuelling of asset class bubbles. 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. 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. You now have two derivatives positions, rather than one. Jan 28, 2011 - minimum of assets in highly liquid form, such as government bonds, will inevitably mean a reduction in the capacity of banks to lend at all levels of the market. Feb 23, 2014 - Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series). Dec 3, 2013 - So instead you enter into an offsetting position with a different counterparty. Feb 4, 2014 - All other interest rates, including the federal funds rate, would be determined in the market, presumably with the risk-free interest rate set by the Fed exerting a powerful influence on them… the Fed should not shrink its balance sheet all the way back to a size that would have been . Once approved by G20, national governments will be required to. Funds and Real Estate Industry. 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. The interest rate differential required to accept assets of a certain risk – as the interest rate increment over the IOR. Therefore, it is logical for commercial banks to price asset credit risk – i.e. These scenario calculations are powered by Markit's risk calculation engine, .. The Handbook of Fixed Income Securities, Eighth Edition.