Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes Damiano Brigo, Massimo Morini, Andrea Pallavicini
Publisher: Wiley

Asset managers and hedge funds alike. We have We are very conscious of risk in our portfolios and, as such, we do not use derivatives that could cause liquidity issues in a crisis, or expose our clients to counterparty credit risk. Aug 11, 2013 - Sunday, 11 August 2013 at 06:27. All asset classes are affected, including "safe" assets used by commercial banks as collateral for central bank funding. Nov 16, 2012 - Asset Management. November 2012 others, risk management and VaR disclosure [class Y]. This is why the Fed provided .. As easily run a net short position. Guidance: All share classes need to Bank and other credit institutions. "Investors" in this case means institutional investors and high net worth individuals. In 2008, we The Case For Investing in Europe (Sponsored) May 1, 2014. 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. The CCP also For example, a US dollar transaction that stipulates the posting of dollar cash collateral should be discounted using the federal funds rate. Luxembourg GAAP www.pwc.lu/asset-management. 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. Illustrative annual report for investment funds in accordance with. 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. The CCP will, it is assumed, aggregate all positions across instruments and asset classes for each clearing party. 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. Oct 31, 2011 - The CCP is designed to reduce and help manage credit risk in derivative transactions – the risk that each participant takes on the other side to perform their obligations (known as “counterparty risk”). *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 23, 2013 - RW: There is no theoretical reason why you would not use ETFs for all asset classes but in practice there are differences in liquidity and index replication that make some ETFs superior to others.