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


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. The records and reports must include a description of certain information about private funds, such as the amount of assets under management, use of leverage, counterparty credit risk exposure and trading and investment positions for each private fund advised by the adviser. Apr 17, 2013 - The clearinghouse effectively undertakes all counterparty credit risk through novation, leaving transacting parties with zero exposure to their original counterparties and, as long as the clearinghouse remains solvent, no exposure to counterparty Because clearinghouses specialize in specific asset classes—for example, foreign exchange, interest rate swaps, or credit default swaps (CDSs)—they are likely to be susceptible to asset bubbles in the underlying asset. Illustrative annual report for investment funds in accordance with. Jan 8, 2014 - Rule 15c3-1 prescribes a net liquid assets test that is designed to require a broker-dealer to maintain sufficient liquid assets to meet all obligations to customers and counterparties and have adequate additional resources to wind-down spreads; (2) securities-related research; (3) internal or external credit risk assessments; (4) default statistics; (5) inclusion in an index; (6) priorities and enhancements; (7) price, yield and/or volume; and (8) asset class-specific factors. Oct 5, 2010 - Manulife Advanced Fund SPC is an umbrella fund currently comprising two sub-funds (“Funds”), both of which invest directly in Mainland China through Manulife Asset Management (Hong Kong) Limited as a holder of the Qualified . *In case of a share class liquidation/merger during the year, the best practice is to indicate the latest available information (NAV/ share, number of shares outstanding and date of liquidation/merger). Aug 14, 2011 - Despite the crisis, however, the appetite for structured credit products is now growing, especially amongst the institutional investors with access to low cost funding (courtesy of the lax monetary policies). November 2012 others, risk management and VaR disclosure [class Y]. 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. (The Key Risk Factors of the Funds are attached in Appendix). Fund prices may go down as well as up. Securities risk / credit risk, liquidity risk, Mainland China tax risk and redemption and performance fees. Feb 14, 2011 - Curtis is an international law firm with attorneys specializing in all areas of law including international arbitration, real estate, mergers & acquisitions, and business law. 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. Luxembourg GAAP www.pwc.lu/asset-management. 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. These sales, if sufficiently widespread, can exacerbate the price falls caused by declining credit quality. Guidance: All share classes need to Bank and other credit institutions. Nov 16, 2012 - Asset Management.





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