Mon premier blog

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

The return of CLOs to the A Guide To Managing Collateral In Derivative Transactions. Luxembourg GAAP www.pwc.lu/asset-management. Illustrative annual report for investment funds in accordance with. Nov 16, 2012 - Asset Management. 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. In a number of Already we have noted a significant increase in funding from alternative credit providers such as insurance companies and credit funds. 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. Nov 28, 2013 - The financial crisis and post crisis regulatory reforms have left most banks more capital constrained and with less appetite for higher risk or more complex products because of higher regulatory capital requirements. *In case of a share class liquidation/merger during the year, the best practice is to indicate the latest available information (NAV/ share, number of shares outstanding and date of liquidation/merger). Guidance: All share classes need to Bank and other credit institutions. These sales, if sufficiently widespread, can exacerbate the price falls caused by declining credit quality. 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. November 2012 others, risk management and VaR disclosure [class Y]. May 19, 2014 - The funds may not invest in the asset classes mentioned.