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Central clearing of OTC derivatives: Bilateral vs multilateral netting
Rama, Cont; Thomas, Kokholm - In: Statistics & Risk Modeling 31 (2014) 1, pp. 20-20
 central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on … gain from multilateral netting in a CCP overweighs the loss of netting across asset classes in bilateral netting agreements … one hand and bilateral netting across asset classes on the other hand. We find this tradeoff to be sensitive to …
Persistent link: https://www.econbiz.de/10011015730
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Neue regulatorische Konzepte der Bankenaufsicht und ihre Auswirkungen auf die Gesamtbanksteuerung
Noack, Tim; Cremers, Heinz; Mala, Julia - Frankfurt School of Finance and Management - 2014
The Basel III framework represents the response to the regulation deficits of the financial cri-sis and the immense losses of many banks in years 2007/2008. The aim of the framework is to increase the level of capital in financial institutions and to improve the loss absorption and risk coverage...
Persistent link: https://www.econbiz.de/10010957486
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013
, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring …
Persistent link: https://www.econbiz.de/10010957120
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Parsimonious exposure-at-default modeling for unfunded loan commitments
Bag, Pinaki; Jr, Michael Jacobs - In: Journal of Risk Finance 13 (2011) January, pp. 77-94
determine an exposure at default (EAD) distribution for CCL (contingent credit lines) portfolios. Design … segments to derive an EAD distribution, chosen randomly from Moody's Default Risk Service (DRS) database of CCLs rated as of 12 …/31/2008, to derive an EAD distribution. The standard deviation of the usage distribution is found to decrease as we increase the …
Persistent link: https://www.econbiz.de/10009415545
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Calibrating Your Intuition; Capital Allocation for Market and Credit Risk
Kupiec, Paul H. - International Monetary Fund (IMF) - 2002
Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To ensure accuracy, VaR must … be modified by: (1) measuring loss relative to initial market value; and (2) augmenting VaR to account for the interest …
Persistent link: https://www.econbiz.de/10005599685
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Paraguay; Financial System Stability Assessment: Update
International Monetary Fund (IMF); International … - 2011
Most banks in Paraguay appear resilient to shocks, although the exposure to large borrowers is high. The mission strongly recommends the adoption of measures that would moderate credit growth and induce financial institutions to build cushions that can protect them and their clients from a...
Persistent link: https://www.econbiz.de/10011245504
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Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
FERMANIAN, Jean-David; SCAILLET, Olivier - Swiss Finance Institute - 2003
respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonpara …
Persistent link: https://www.econbiz.de/10005771798
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Kreditrisiken - Modellierung und Management: Ein Überblick
Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152
Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...
Persistent link: https://www.econbiz.de/10010984673
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Optimal Central Counterparty Risk Management
Haene, Philipp; Sturm, Andy - Schweizerische Nationalbank (SNB) - 2009
consist of margin requirements and contributions to a collective default fund. Based on a stylized model of CCP risk …
Persistent link: https://www.econbiz.de/10008481992
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Optimal Central Counterparty Risk Management
Haene, Philipp; Sturm, Andy - Schweizerische Nationalbank (SNB) - 2009
consist of margin requirements and contributions to a collective default fund. Based on a stylized model of CCP risk …
Persistent link: https://www.econbiz.de/10008925060