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Finance and Economics Discussion Series - Measuring Counterparty Credit Exposure to a Margined Counterparty (Paperback) Loot Price: R370
Discovery Miles 3 700
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Finance and Economics Discussion Series - Measuring Counterparty Credit Exposure to a Margined Counterparty (Paperback):...

Finance and Economics Discussion Series - Measuring Counterparty Credit Exposure to a Margined Counterparty (Paperback)

Michael S. Gibson

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Loot Price R370 Discovery Miles 3 700

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Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Michael S. Gibson
Dimensions: 246 x 189 x 1mm (L x W x T)
Format: Paperback - Trade
Pages: 22
ISBN-13: 978-1-288-71141-3
Categories: Books > Social sciences > Politics & government > General
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LSN: 1-288-71141-7
Barcode: 9781288711413

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