Counterparty

Chapter 9.pdf

Extracted from Asset/Liability Management of Financial Institutions, Euromoney Books 2003 www.euromoneyb ooks.com © Euromoney Institutional Investor plc Chapter 9 Measuring and marking counterparty risk Eduardo Canabarro Head of Credit Quantitative Risk Modeling, Goldman Sachs Darrell Duffie ...

www.stanford.edu

Counterparty Credit Risk Management in the US Over-the ...

Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets Summary In this short paper, ISDA examines the extent of counterparty credit losses and the efficacy of credit mitigation techniques in the US banking system with respect to OTC derivatives.

www2.isda.org

Interagency Supervisory Guidance on Counterparty Credit Risk ...

1 Office of the Comptroller of the Currency Federal Deposit Insurance Corporation Board Office Interagency Supervisory Guidance on Counterparty Credit Risk Management June 29, 2011 Table of Contents I. Introduction ...

fdic.gov

COUNTERPARTY CREDIT RISK MODELING WORKSHOP New York, January 25

Counterparty Credit Risk Workshop IAFE January 2011 1 © 2011 R2 Financial Technologies 1 COUNTERPARTY CREDIT RISK MODELING WORKSHOP New York, January 25

www.iafe.org

The cost of counterparty risk and collateralization in ...

The cost of counterparty risk and collateralization in longevity swaps ∗ Enrico Biffis † David Blake ‡ Lorenzo Pitotti § Ariel Sun ¶ Abstract

www.rmi.gsu.edu

Nils Beier, Holger Harreis, Thomas Poppensieker,

Getting to grips with counterparty risk Counterparty risk after the crisis is now in the same league as market and liquidity risk. Rather than relying on new regulation, banks should better their own lot.

www.mckinsey.com

Managing FX Counterparty Risk v1 052011

MANAGING FX COUNTERPARTY RISK 4 Confi dential and Proprietary – Do Not Duplicate Copyright © 2011 Mellon Capital Management Corporation ▪ Counterparty setup and maintenance can be expensive

www.mcm.com

Pricing Counterparty Risk at the Trade Level and CVA Allocations

Finance and Economics Discussion Series Divisions of Research&Statistics and Monetary Aairs Federal Reserve Board, Washington, D.C. Pricing Counterparty Risk at the Trade Level and CVA Allocations Michael Pykhtin and Dan Rosen 2010-10 NOTE: Sta working papers in the Finance and Economics ...

federalreserve.gov

Basel III counterparty credit risk - Frequently asked questions

Basel III counterparty credit risk - Frequently asked questions The Basel Committee on Banking Supervision has received a number of interpretation questions related to the 16 December 2010 publication of the Basel III regulatory frameworks for capital and liquidity and the 13 January 2011 press ...

www.bis.org

Counterparty Risk: Hard Lessons Learned

PRACTICAL COMPLIANCE & RISK MANAGEMENT FOR THE SECURITIES INDUSTRY • MARCH-APRIL 2009 35 © 2009, Robert A. Buhlman and Jason D. Lane Jason D. Lane is an associate in the New York offi ce of Bingham McCutchen LLP.

www.bingham.com

Other sites you could try:

Find videos related to Counterparty