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Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty - Couverture souple

Gibson, Michael S

 
9781288711413: Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty
Couverture souple
ISBN 10 : 1288711417 ISBN 13 : 9781288711413
Editeur : BiblioBazaar, LLC, 2013

Synopsis

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.

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Éditeur
BiblioBazaar, LLC
Date d'édition
2013
Langue
anglais
ISBN 10 
1288711417
ISBN 13 
9781288711413
Reliure
Broché
Nombre de pages
22
Coordonnées du fabricant
non disponible
Personne responsable
non disponible