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An Integrated OTC Derivatives Risk Capital Framework

Lou, Wujiang - 2019

Bilateral derivatives valuation is subject to counterparty credit risk (CCR) in that a counterparty could jump to default or its credit spread could vary over time. In the nomenclature of risk management, the former is called CCR exposure and the later leads to credit valuation adjustment (CVA)....

Persistent link: https://www.econbiz.de/10012898160

Expansion of Central Clearing

Heller, Daniel - 2014

By the end of 2012, all standardised over-the-counter (OTC) derivatives will have to be cleared through central counterparties (CCPs). We estimate the financial resources that different CCPs would need to clear safely the full volume of interest rate swaps and credit default swaps currently held...

Persistent link: https://www.econbiz.de/10013067872

A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

Murphy, David - 2020

The capital charges for counterparty credit risk form an important part of the Basel Capital Accords. The Basel Committee permits firms to use a variety of methods to calculate regulatory capital on this risk class, including a simple approach – the constant exposure method or CEM – and a...

Persistent link: https://www.econbiz.de/10012834212

Diversification Benefits of Managed Futures

Schneeweis, Thomas - 2015

Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory...

Persistent link: https://www.econbiz.de/10013038527

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Financial derivatives : pricing and risk management

Kolb, Robert W.; Overdahl, James A. - 2010

Derivative instruments : forwards, futures, options, swaps, and structured products / G.D. Koppenhaver -- The … / Robert W. Kolb -- Emerging derivative instruments / Steve Swidler -- The development and current state of derivatives markets … futures and options / Walter L. Lukken -- Accounting for financial derivatives / Ira G. Kawaller -- Derivative scandals and …

Persistent link: https://www.econbiz.de/10003834004

Collateral requirements for mandatory central clearing of over-the-counter derivatives

Heller, Daniel; Vause, Nicholas - 2012

Persistent link: https://www.econbiz.de/10009535778

Expansion of central clearing

Heller, Daniel; Vause, Nicholas - In: BIS quarterly review : international banking and … (2011), pp. 67-81

Persistent link: https://www.econbiz.de/10009158114

The market for sharing interest rate risk: quantities behind prices

Khetan, Umang; Neamțu, Ioana; Sen, Ishita - 2023

Persistent link: https://www.econbiz.de/10014373715

Impact of Netting, Portfolio Compression and Central Clearing on OTC Derivatives

Aditya, P. D. - 2015

In order to avoid systemic risks in the financial markets, the G20 countries have come up with certain regulations in 2010. To reduce risks in the system, in accordance with G20 goals, certain measures such as netting, collateralization, portfolio compression and central clearing have been...

Persistent link: https://www.econbiz.de/10013033029

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