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

Feb 9, 2014 - Counterparty Credit Risk, Collateral And Funding -With Pricing Cases For All Asset Classes Brigo The Bank Credit Analysis Handbook, Second Edition: A Guide For Analysts, Bankers, And Investors Golin. This is consistent with the reports of commentators on the FSB's money market fund proposals that there was in fact no run on MMFs but rather a flight to quality as investors shifted from prime MMFs to government-debt MMFs. Have guided the marketplace with generalized restrictions, yet have contemplated the foreseeable circumstances where market participants utilize technology automation to analyze the cost benefit of collateral optimization on a case-by-case or counterparty basis. Feb 5, 2013 - For example, hypothecation occurs when a hedge fund pledges and posts eligible collateral to its prime broker to secure a trading portfolio, with or without rights to borrow against these secured assets. 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. Sep 28, 2012 - Although recent regulatory proposals attempt to reduce these “puts”, we provide examples from non-banking activities within a bank, money market funds, Triparty repo, OTC derivatives market, collateral with central banks, and issuance Three categories of risk deserve particular attention – poor credit risk assessment; non-transparent maturity transformation and the risk of increased volatility in credit supply and asset prices. Securities risk / credit risk, liquidity risk, Mainland China tax risk and redemption and performance fees. Fund prices may go down as well as up. (The Key Risk Factors of the Funds are attached in Appendix). Feb 24, 2012 - Collateralization of assets gives lenders a sufficient level of reassurance against default risk, which allows loans to be issued to individuals / companies and corporate with less than optimal credit history and / or debt rating. 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. The increasing risk Optimization, Limited, Automated across all asset types In the case of triparty collateral management, the process is outsourced to a neutral agent to perform with a view to manage Reduce Operational, Settlement, Market and Liquidity risks. 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. 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. 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 . 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. May 24, 2013 - The fact that commercial paper investors are intolerant of risk is documented by Covitz, Liang and Suarez, in “The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market” (2012). In 2008, we The Case For Investing in Europe (Sponsored) May 1, 2014.