File Name: counterparty credit risk collateral and funding .zip
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Morini and A. Brigo , M. Morini , A. Pallavicini Published Business. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules.
Save to Library. Create Alert. Launch Research Feed. Share This Paper. Background Citations. Methods Citations. Results Citations. Supplemental Presentations. Presentation Slides. Citation Type. Has PDF. Publication Type. More Filters. View 2 excerpts, cites background. Research Feed. A consistent framework for valuation under collateralization, credit risk and funding costs.
Nonlinearity Valuation Adjustment. View 1 excerpt, cites background. Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks. Highly Influenced. View 3 excerpts, cites background. Counterparty Credit Risk : The new challenge for global financial markets.
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Counterparty Credit Risk,. Collateral and Funding. With Pricing Cases for all Asset Classes. Damiano Brigo, Massimo Morini and Andrea Pallavicini. Order now.
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ECB launched consultation on a guide that details the supervisory assessment methodology for the internal models that banks apply to calculate their exposure to counterparty credit risk. In addition, the guide describes how ECB will assess A-CVA or the advanced methods banks use to calculate the own funds required to account for risks related to the credit valuation adjustments CVA. Also published were the frequently asked questions about the guide. The guide is applicable to the ECB-supervised institutions that have permission to implement an internal model method or IMM, institutions that have implemented an advanced method for calculating CVA risk, and institutions seeking approval for the internal model method or CVA internal models, under the Capital Requirements Regulation. The consultation period for the guide ends on March 18,
A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. The loss may be complete or partial. In an efficient market, higher levels of credit risk will be associated with higher borrowing costs. Because of this, measures of borrowing costs such as yield spreads can be used to infer credit risk levels based on assessments by market participants. Losses can arise in a number of circumstances,  for example:.
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New Regulation of OTC Derivative Markets All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end at the latest. OTC derivative contracts should be reported to trade repositories. Non-centrally cleared contracts should be subject to higher capital requirements..
New Regulation of OTC Derivative Markets All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end at the latest. OTC derivative contracts should be reported to trade repositories. Non-centrally cleared contracts should be subject to higher capital requirements.. Grafik: PWC. Link to this page:.
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