Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes. Damiano Brigo, Massimo Morini, Andrea Pallavicini
ISBN: 9780470748466 | 464 pages | 12 Mb
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes Damiano Brigo, Massimo Morini, Andrea Pallavicini
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. Average repo-haircut index for structured bonds. 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. These sales, if sufficiently widespread, can exacerbate the price falls caused by declining credit quality. There is great variation in the use of collateral by asset class. Even trades that The International Swaps and Derivatives Association's 2010 Margin Survey of derivatives dealers and participants suggests 70% of all OTC transactions are subject to collateral agreements. Oct 23, 2013 - show large and statistically significant correlations in the expected directions between thrift failure probabilities (estimated using a failure logit model) and uninsured deposit growth rates and deposit rates. In the pre-crisis period, haircuts were zero for all asset classes; this is consistent with the repo market being based on information-insensitive assets backing deposits. Oct 8, 2010 - Some firms and their trade bodies have claimed that mandatory central clearing could even deter companies from hedging, leaving them more exposed to price risks. Dec 25, 2010 - Because FDIC insurance does not cover repos, the safety of the bank (typically a dealer bank) is insured privately with the collateral, which is valued at market prices. Similar results on bank risk taking and . Cover the face value – principal and interest – of the assets, which protects buyers from a sponsor's haircuts, (3) collateral velocity, and (4) changes in counterparty credit risk limits (due to changes in All of the empirical literature discussed. Eligible Receivables for Non-Mortgage-Backed ABS. Mar 18, 2009 - Investment Funds Risk Assessment. Depositors take delivery of the collateral so it is in their possession. A borrower, in all cases, is not permitted to collateralize a TALF loan with ABS that was securitized by the borrower or by an affiliate of the borrower. You now have two derivatives positions, rather than one. Dec 3, 2013 - So instead you enter into an offsetting position with a different counterparty. Issuer Certifications, Auditor Assurances and SBA Documentation for ABS Other Than Legacy CMBS Haircuts and Rates Collateral Monitors and Other Agents ..