P2.T6. Credit Risk Measurement & Management. Jon Gregory, The xva Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital
|
|
- Sydney Paul
- 5 years ago
- Views:
Transcription
1 P2.T6. Credit Risk Measurement & Management Jon Gregory, The xva Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital Bionic Turtle FRM Study Notes Sample By David Harper, CFA FRM CIPM and Deepa Raju
2 Gregory, Chapter 4: Counterparty Risk DESCRIBE COUNTERPARTY RISK AND DIFFERENTIATE IT FROM LENDING RISK DESCRIBE TRANSACTIONS THAT CARRY COUNTERPARTY RISK AND EXPLAIN HOW COUNTERPARTY RISK CAN ARISE IN EACH TRANSACTION IDENTIFY AND DESCRIBE INSTITUTIONS THAT TAKE ON SIGNIFICANT COUNTERPARTY RISK
3 Gregory, Chapter 4: Counterparty Risk Describe counterparty risk and differentiate it from lending risk. Describe transactions that carry counterparty risk and explain how counterparty risk can arise in each transaction. Identify and describe institutions that take on significant counterparty risk. Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Identify and describe the different ways institutions can quantify, manage and mitigate counterparty risk. Describe counterparty risk and differentiate it from lending risk. Lending risk is the traditional credit risk: one party borrows and owes money to another party but may fail to pay some (or all) of the amount owed due to insolvency. Lending risk has two features: The notional amount at risk at any time during the lending period is usually known with a degree of certainty. Market variables such as interest rates will typically create only moderate uncertainty over the amount owed. For example, in buying a bond, the notional amount at risk for the life of the bond is close to par. A repayment mortgage will amortize over time (the notional drops due to the repayments) but one can predict with good accuracy the outstanding balance at some future date. A loan or credit card may have a certain maximum usage facility, which may reasonably be assumed fully drawn for the purpose of credit risk. Only one party takes lending risk. A bondholder takes considerable credit risk, but an issuer of a bond does not face a loss if the buyer of the bond defaults. With counterparty risk, as with all credit risk, the cause of a loss is the obligor being unable or unwilling to meet contractual obligations. However, two aspects differentiate contracts with counterparty risk from traditional credit risk: The value of the contract in the future is uncertain in most cases significantly so. The MTM value of a derivative at a potential default date will be the net value of all future cashflows required under that contract. This future value can be positive or negative and is typically highly uncertain (as seen from today). Since the value of the contract can be positive or negative, counterparty risk is typically bilateral. In other words, each counterparty in a derivatives transaction has risk to the other. The primary distinguishing feature of counterparty risk compared with other forms of credit risk is that the value of the underlying contract in the future is uncertain, both in magnitude and in sign! Jon Gregory 3
4 Describe transactions that carry counterparty risk and explain how counterparty risk can arise in each transaction. Counterparty risk typically arises from two classes of financial products: over the counter (OTC) derivatives and securities financing transactions (including repos): OTC derivatives: Due to the need for customization (lower basis risk), a much greater notional amount of derivatives are traded OTC. OTC derivatives trade bilaterally between two parties with each assuming counterparty risk to the other. o Interest rate products (e.g., interest rate swaps) are majority of outstanding notional. o The exposure of derivative products is substantially smaller than their gross notional. For example, the total market value of interest rate contracts is only 3.1% of the total notional outstanding (as of December 2010) Repos: Many institutions use standard sale and repurchase agreements ( repos ) as a liquidity management tool to swap cash against collateral for a pre-defined period. The lender of cash is paid a repo rate (i.e., the interest rate on the transaction plus any counterparty risk charge). The collateral tends to be liquid securities, of stable value, with a haircut applied to mitigate the counterparty risk. Contrast their counterparty risk with exchange-traded derivatives: When trading a futures contract (a typical exchange-traded derivative), the counterparty is the actual exchange. The exchange guarantees the contract performance and mitigates, if not eliminates, counterparty risk (a clearing role normally is attached to the exchange). Derivatives traded on an exchange are often viewed as having no counterparty risk since the only concern is the solvency of the exchange itself. Settlement and pre-settlement risk A derivatives portfolio contains a number of settlements equal to multiples of the total number of transactions; for example, a swap contract will have a number of settlement dates as cashflows are exchanged periodically. Counterparty risk is mainly associated with pre-settlement risk: the risk of counterparty default prior to expiration (settlement) of the contract. However, we should also consider settlement risk; i.e., the risk of counterparty default during settlement process. Pre-settlement risk (a.k.a., counterparty risk): This is the risk that a counterparty will default prior to the final settlement of the transaction (at expiration). Counterparty risk usually refers to this risk. Settlement risk. This arises at final settlement if there are timing differences between when each party performs on its obligations under the contract. For Example: Suppose an institution enters into a forward FX contract to exchange 1m for $1.1m at a specified date in the future. The settlement risk exposes the institution to a substantial loss of $1.1m, which could arise if 1m was paid but the $1.1m was not received. However, this only occurs for a single day on expiry of the FX forward. This type of crosscurrency settlement risk is also called Herstatt risk. Pre-settlement risk (counterparty risk) exposes the institution to just the difference in market value between the dollar and Euro payments. If the foreign exchange rate moved from 1.1 to 1.15, this would translate into a loss of $50,000, but this could occur at any time during the life of the contract. 4
5 The difference between pre-settlement and settlement risk is illustrated in Figure 4.1. Unlike counterparty risk, settlement risk is characterized by a very large exposure potentially, 100% of the notional of the transaction. While settlement risk gives rise to much larger exposures, default prior to expiration of the contract is substantially more likely than default at the settlement date. However, settlement risk can be more complex when there is a substantial delivery period (for example, as in a commodity contract where one may be required to settle in cash against receiving a physical commodity over a specified time period). Whilst all derivatives technically have both settlement and pre-settlement risk, the balance between the two will be different depending on the contract. Spot contracts have mainly settlement risk whilst long-dated swaps have mainly pre-settlement (counterparty) risk. Furthermore, various types of netting provide mitigation against settlement and presettlement risks. Settlement risk is a major consideration in FX markets, where the settlement of a contract involves a payment of one currency against receiving the other. Settlement risk typically occurs for only a small amount of time (often just days, or even hours). To measure the period of risk to a high degree of accuracy would mean taking into account the contractual payment dates, the time zones involved and the time it takes for the bank to perform its reconciliations across accounts in different currencies. Any failed trades should also continue to count against settlement exposure until the trade actually settles. Institutions typically set separate settlement risk limits and measure exposure against this limit rather than including settlement risk in the assessment of counterparty risk. It may be possible to mitigate settlement risk, for example by insisting on receiving cash before transferring securities. Recent developments in collateral posting have the potential to increase currency settlement risk. The standard CSA, the regulatory collateral requirements and central clearing mandate incentivize or require cash collateral posting in the currency of a transaction. These potentially create more settlement risk, and associated liquidity problems, as parties have to post and receive large cash payment in silos across multi-currency portfolios. 5
6 Identify and describe institutions that take on significant counterparty risk. The range of institutions that take significant counterparty risk has changed dramatically over recent years. In general, these institutions include the following: Large derivatives player A large bank, often known as a dealer with many OTC derivatives trades on books. Trades with many clients and large players Coverage of all or many different asset classes (interest rate, foreign exchange, equity, commodities, credit derivatives) Will post collateral against positions Medium derivatives player A smaller bank or other financial institution; e.g., hedge fund, pension fund Many OTC derivatives trades on books Trades with relatively large number of clients Will cover several asset classes although may not be active in all of them (may, for example, not trade credit derivatives or commodities and will probably not deal with the more exotic derivatives) Will probably post collateral against positions with some exceptions Small derivatives player A large corporate or sovereign with significant derivatives requirements; e.g., for hedging needs or investment) or a small financial institution Will have a few OTC derivatives trades on their books Will trade with potentially only a few different counterparties May specialize in a single asset class (e.g., some corporates trade only foreign exchange products, a mining company may trade only commodity forwards, a pension fund may only be active in interest rate and inflation products); Often unable to commit to posting collateral or will post illiquid collateral. Third parties For example, offer collateral management, software, trade compression and clearing services. They allow market participants to reduce counterparty risk, the risks associated with counterparty risk (such as legal) and improve overall operational efficiency with respect to these aspects 6
7 The Global Financial Crisis (GFC) exposed latent counterparty risk Historically, large derivatives players had stronger credit quality than other participants. However, some small players (e.g., sovereigns, insurance companies) had AAA-rated credit quality and used this to obtain favorable terms such as one-way collateral agreements. Prior to 2007 (the onset of the global financial crisis), much counterparty risk was essentially ignored because large derivatives players or AAA-rated entities were assumed default free: the credit spreads of large, highly-rated financial institutions was just a few basis points per annum. However, the presumption of little counterparty risk was revealed to be a myth when the reality of unilateral and bilateral counterparty risk was recognized. Currently, all institutions facing counterparty risk must take it seriously and build their abilities in quantification, pricing and hedging aspects. 7
Hull, Options, Futures & Other Derivatives
P1.T3. Financial Markets & Products Hull, Options, Futures & Other Derivatives Bionic Turtle FRM Study Notes Sample By David Harper, CFA FRM CIPM and Deepa Raju www.bionicturtle.com Hull, Chapter 1: Introduction
More informationDowd, Measuring Market Risk, 2nd Edition
P2.T7. Operational & Integrated Risk Management Dowd, Measuring Market Risk, 2nd Edition Bionic Turtle FRM Study Notes Reading 53 By David Harper, CFA FRM CIPM www.bionicturtle.com DOWD CHAPTER 14: ESTIMATING
More informationMiFID II: Information on Financial instruments
MiFID II: Information on Financial instruments A. Introduction This information is provided to you being categorized as a Professional client to inform you on financial instruments offered by Rabobank
More informationJohn Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives
P1.T3. Financial Markets & Products John Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives Bionic Turtle FRM Study Notes By David Harper, CFA FRM
More informationP2.T5. Market Risk Measurement & Management. Hull, Options, Futures, and Other Derivatives, 9th Edition.
P2.T5. Market Risk Measurement & Management Hull, Options, Futures, and Other Derivatives, 9th Edition. Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Hull, Chapter 9:
More informationFunctional Training & Basel II Reporting and Methodology Review: Derivatives
Functional Training & Basel II Reporting and Methodology Review: Copyright 2010 ebis. All rights reserved. Page i Table of Contents 1 EXPOSURE DEFINITIONS...2 1.1 DERIVATIVES...2 1.1.1 Introduction...2
More informationP2.T6. Credit Risk Measurement & Management. Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook
P2.T6. Credit Risk Measurement & Management Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook Bionic Turtle FRM Study Notes Reading 42 By David Harper, CFA FRM CIPM www.bionicturtle.com
More informationP2.T6. Credit Risk Measurement & Management. Ashcraft & Schuermann, Understanding the Securitization of Subprime Mortgage Credit
P2.T6. Credit Risk Measurement & Management Ashcraft & Schuermann, Understanding the Securitization of Subprime Mortgage Credit Bionic Turtle FRM Study Notes Sample By David Harper, CFA FRM CIPM and Deepa
More informationHull, Options, Futures & Other Derivatives, 9th Edition
P1.T3. Financial Markets & Products Hull, Options, Futures & Other Derivatives, 9th Edition Bionic Turtle FRM Study Notes Reading 19 By David Harper, CFA FRM CIPM www.bionicturtle.com HULL, CHAPTER 1:
More informationP2.T6. Credit Risk Measurement & Management. Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook
P2.T6. Credit Risk Measurement & Management Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Golin,
More informationP2.T6. Credit Risk Measurement & Management. Giacomo De Laurentis, Renato Maino, and Luca Molteni, Developing, Validating and Using Internal Ratings
P2.T6. Credit Risk Measurement & Management Giacomo De Laurentis, Renato Maino, and Luca Molteni, Developing, Validating and Using Internal Ratings Bionic Turtle FRM Practice Questions By David Harper,
More informationBasel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools
P2.T7. Operational & Integrated Risk Management Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com
More informationMerrill Lynch Government Securities Inc. and Subsidiary
Merrill Lynch Government Securities Inc. and Subsidiary Consolidated Balance Sheet as of June 27, 2008 (unaudited) S.E.C. I.D. No. 8-38051 Merrill Lynch Government Securities Inc. and Subsidiary CONSOLIDATED
More informationAnthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach
P1.T3. Financial Markets & Products Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach Bionic Turtle FRM Study Notes Sample By David Harper, CFA FRM
More informationBruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today s Markets, 3rd Edition
P1.T3. Financial Markets & Products Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today s Markets, 3rd Edition Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM and Deepa Raju
More informationP2.T6. Credit Risk Measurement & Management. Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Sercuritization, 2nd Edition
P2.T6. Credit Risk Measurement & Management Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Sercuritization, 2nd Edition Bionic Turtle FRM Study Notes By Nicole Seaman and David
More informationP2.T8. Risk Management & Investment Management. Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition.
P2.T8. Risk Management & Investment Management Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM and Deepa Raju
More informationIntroduction to Derivative Instruments Part 2
Link n Learn Introduction to Derivative Instruments Part 2 Leading Business Advisors Contacts Elaine Canty - Manager Financial Advisory Ireland Email: ecanty@deloitte.ie Tel: 00 353 417 2991 Fabian De
More informationP2.T6. Credit Risk Measurement & Management. Ashcroft & Schuermann, Understanding the Securitization of Subprime Mortgage Credit
P2.T6. Credit Risk Measurement & Management Ashcroft & Schuermann, Understanding the Securitization of Subprime Mortgage Credit Bionic Turtle FRM Study Notes Reading 48 By David Harper, CFA FRM CIPM www.bionicturtle.com
More informationRISK DISCLOSURE STATEMENT FOR PROFESSIONAL CLIENTS AND ELIGIBLE COUNTERPARTIES AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED LONDON BRANCH
RISK DISCLOSURE STATEMENT FOR PROFESSIONAL CLIENTS AND ELIGIBLE COUNTERPARTIES AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED LONDON BRANCH DECEMBER 2017 1. IMPORTANT INFORMATION This Risk Disclosure
More informationNote 8: Derivative Instruments
Note 8: Derivative Instruments Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices
More informationSenior Credit Officer Opinion Survey on Dealer Financing Terms
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM DIVISION OF MONETARY AFFAIRS DIVISION OF RESEARCH AND STATISTICS For release at 2:00 p.m. EDT March 29, 2012 Senior Credit Officer Opinion Survey on Dealer
More informationMERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY (S.E.C. I.D. No ) CONSOLIDATED BALANCE SHEET AS OF JUNE 30, 2009 (UNAUDITED)
MERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY (S.E.C. I.D. No. 8-38051) CONSOLIDATED BALANCE SHEET AS OF JUNE 30, 2009 (UNAUDITED) MERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY CONSOLIDATED
More informationMERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY
MERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY CONSOLIDATED BALANCE SHEET AS OF DECEMBER 29, 2006 CONSOLIDATED BALANCE SHEET AS OF DECEMBER 29, 2006 (Dollars in Thousands, Except Per Share Amount)
More information(A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York)
(A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York) Consolidated Financial Statements as of and for the Years Ended December 31, 2013 and 2012, and Independent Auditors Report
More informationDESCRIPTION OF FINANCIAL INSTRUMENTS AND INVESTMENT RISKS
DESCRIPTION OF FINANCIAL INSTRUMENTS AND INVESTMENT RISKS General provisions This brief description contains information about financial instruments and their inherent risks. It doesn t mean that this
More informationInterest Rates & Credit Derivatives
Interest Rates & Credit Derivatives Ashish Ghiya Derivium Tradition (India) 25/06/14 1 Agenda Introduction to Interest Rate & Credit Derivatives Practical Uses of Derivatives Derivatives Going Wrong Practical
More informationNote 10: Derivative Instruments
Note 10: Derivative Instruments Derivative instruments are financial that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices or
More informationUnderstanding Bank Returns on Derivative Transactions with Corporate Counterparties. July 10, 2014
Understanding Bank Returns on Derivative Transactions with Corporate Counterparties July 10, 2014 Overview Recent regulatory changes, including Basel III, are have far reaching implications for banks pricing
More informationP1.T6. Credit Risk Measurement & Management
Bionic Turtle FRM Practice Questions P1.T6. Credit Risk Measurement & Management Global Topic Drill By David Harper, CFA FRM CIPM www.bionicturtle.com GLOBAL TOPIC DRILL: CREDIT RISK MEASUREMENT & MANAGEMENT...
More informationDerivative Contracts and Counterparty Risk
Lecture 13 Derivative Contracts and Counterparty Risk Giampaolo Gabbi Financial Investments and Risk Management MSc in Finance 2016-2017 Agenda The counterparty risk Risk Measurement, Management and Reporting
More informationSenior Credit Officer Opinion Survey on Dealer Financing Terms September 2016
Page 1 of 93 Senior Credit Officer Opinion Survey on Dealer Financing Terms September 2016 Print Summary Results of the September 2016 Survey Summary The September 2016 Senior Credit Officer Opinion Survey
More informationTHIRD POINT OFFSHORE FUND L.P. UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS
THIRD POINT OFFSHORE INVESTORS OFFSHORE MASTER LIMITED FUND L.P. UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS Period Ended June 30, 2010 Contents 01 Statement of Financial Condition 02 Unaudited Statement
More informationChallenges in Managing Counterparty Credit Risk
Challenges in Managing Counterparty Credit Risk Jon Gregory www.oftraining.com Jon Gregory (jon@oftraining.com), Credit Risk Summit, London, 14 th October 2010 page 1 Jon Gregory (jon@oftraining.com),
More informationBasel II Pillar 3 disclosures
Basel II Pillar 3 disclosures 6M10 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated
More information3. Predetermined Short-Term N et Drains on Foreign Currency Assets (Nominal Value): Section II of the Reserves Data Template
3. Predetermined Short-Term N et Drains on Foreign Currency Assets (Nominal Value): Section II of the Reserves Data Template 138. Section II of the reserves data template is used to report the authorities
More informationRISK DISCLOSURE STATEMENT
RISK DISCLOSURE STATEMENT This General Risk Disclosure (the Notice ) supplements the Lloyds Bank Corporate Markets Plc General Terms of Business (the General Terms ), which you may receive from us from
More informationBruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today s Markets, 3rd Edition
P1.T3. Financial Markets & Products Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today s Markets, 3rd Edition Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com
More informationOrdinance No. 38. on the Capital Adequacy of Banks. Chapter One GENERAL PROVISIONS. Subject. Own Funds Minimum Requirement
Ordinance No. 38 1 Ordinance No. 38 on the Capital Adequacy of Banks (title amended; Darjaven Vestnik, issue 106 of 27 December 2006) (Issued by the Governor of the BNB, adopted by the Governing Council
More informationSummary of ASPE 3856 Financial Instruments
Purpose and Scope This section establishes standards for: Recognizing and measuring financial assets, financial liabilities and specified contracts to buy or sell non-financial items; The classification
More informationMERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY CONSOLIDATED BALANCE SHEET AS OF JUNE 29, 2007 (UNAUDITED)
MERRILL LYNCH GOVERNMENT SECURITIES INC. AND SUBSIDIARY CONSOLIDATED BALANCE SHEET AS OF JUNE 29, 2007 (UNAUDITED) 11367-GSI ConsolReportCover Jun02 2 8/21/07 2:54:55 PM CONSOLIDATED BALANCE SHEET AS
More informationNOTES ON THE BANK OF ENGLAND UK YIELD CURVES
NOTES ON THE BANK OF ENGLAND UK YIELD CURVES The Macro-Financial Analysis Division of the Bank of England estimates yield curves for the United Kingdom on a daily basis. They are of three kinds. One set
More informationOnline appendices from The xva Challenge by Jon Gregory. APPENDIX 8A: LHP approximation and IRB formula
APPENDIX 8A: LHP approximation and IRB formula i) The LHP approximation The large homogeneous pool (LHP) approximation of Vasicek (1997) is based on the assumption of a very large (technically infinitely
More informationInvestec Limited. FINANCIAL INFORMATION (excluding the results of Investec plc)
Investec Limited FINANCIAL INFORMATION (excluding the results of Investec plc) Unaudited condensed consolidated financial information for the six months ended 30 September IFRS Rand Overview of results
More informationJohn Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives
P1.T3. Financial Markets & Products John Gregory, entral ounterparties: Mandatory learing and ilateral Margin Requirements for OT Derivatives ionic Turtle FRM Study Notes y David Harper, F FRM IPM www.bionicturtle.com
More informationIntroduction to Futures and Options
Introduction to Futures and Options Pratish Patel Spring 2014 Lecture note on Forwards California Polytechnic University Pratish Patel Spring 2014 Forward Contracts Definition: A forward contract is a
More information2016 INVESTEC LIMITED FINANCIAL INFORMATION (excluding the results of Investec Plc) Unaudited condensed consolidated financial information for the
INVESTEC LIMITED FINANCIAL INFORMATION (excluding the results of Investec Plc) Unaudited condensed consolidated financial information for the six months ended 30 September IFRS Rand Overview of results
More informationChapter 8. Swaps. Copyright 2009 Pearson Prentice Hall. All rights reserved.
Chapter 8 Swaps Introduction to Swaps A swap is a contract calling for an exchange of payments, on one or more dates, determined by the difference in two prices A swap provides a means to hedge a stream
More informationStulz, Governance, Risk Management and Risk-Taking in Banks
P1.T1. Foundations of Risk Stulz, Governance, Risk Management and Risk-Taking in Banks Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Stulz, Governance, Risk Management
More informationCounterparty Credit Risk
Counterparty Credit Risk The New Challenge for Global Financial Markets Jon Gregory ) WILEY A John Wiley and Sons, Ltd, Publication Acknowledgements List of Spreadsheets List of Abbreviations Introduction
More informationLecture 2. Agenda: Basic descriptions for derivatives. 1. Standard derivatives Forward Futures Options
Lecture 2 Basic descriptions for derivatives Agenda: 1. Standard derivatives Forward Futures Options 2. Nonstandard derivatives ICON Range forward contract 1. Standard derivatives ~ Forward contracts:
More informationFinancial Transaction Tax An ICAP discussion document. April 2013
Financial Transaction Tax An ICAP discussion document April 2013 Disclaimer The information contained in this document constitutes opinion only. It is based on our understanding and knowledge of the subject
More informationManaging Risk off the Balance Sheet with Derivative Securities
Managing Risk off the Balance Sheet Managing Risk off the Balance Sheet with Derivative Securities Managers are increasingly turning to off-balance-sheet (OBS) instruments such as forwards, futures, options,
More informationCapital Optimization Through an Innovative CVA Hedge
Capital Optimization Through an Innovative CVA Hedge Michael Hünseler and Dirk Schubert Abstract One of the lessons of the financial crisis as of late was the inherent credit risk attached to the value
More informationBasel II Pillar 3 disclosures 6M 09
Basel II Pillar 3 disclosures 6M 09 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group
More informationIn various tables, use of - indicates not meaningful or not applicable.
Basel II Pillar 3 disclosures 2008 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG
More informationPutnam 529 for America SM
Putnam 529 for America SM Financial Statements For the year ended June 30, 2015 A 529 college savings plan Sponsored by the State of Nevada, acting by the Board of Trustees of the College Savings Plans
More informationBasel III Pillar 3 Disclosures Report. For the Quarterly Period Ended December 31, 2015
BASEL III PILLAR 3 DISCLOSURES REPORT For the quarterly period ended December 31, 2015 Table of Contents Page 1 Morgan Stanley... 1 2 Capital Framework... 1 3 Capital Structure... 2 4 Capital Adequacy...
More informationP2.T5. Market Risk Measurement & Management
P2.T5. Market Risk Measurement & Management Kevin Dowd, Measuring Market Risk Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM and Deepa Raju www.bionicturtle.com Dowd Chapter 3: Estimating
More informationRegulatory Landscape and Challenges
TITLE: Regulatory Landscape and Challenges AUTHOR: Adrian Orr Chief Executive EVENT PRESENTATION: September 2012 PG 2 Overview Significant regulatory and legislative reform globally: banking, insurance,
More informationASPE AT A GLANCE. Section Financial Instruments
ASPE AT A GLANCE Section 3856 - Financial Instruments December 2014 Section 3856 Financial Instruments Effective Date Fiscal years beginning on or after January 1, 2011 1 SCOPE Applies to all financial
More informationP2.T8. Risk Management & Investment Management
P2.T8. Risk Management & Investment Management Constantinides, Harris & Stulz, Handbook of the Economics of Finance Fung & Hsieh, Chapter 17: Hedge Funds Bionic Turtle FRM Study Notes Reading 72 By David
More informationInvesco V.I. High Yield Fund
Prospectus April 30, 2018 Series I shares Invesco V.I. High Yield Fund Shares of the Fund are currently offered only to insurance company separate accounts funding variable annuity contracts and variable
More informationRegulatory Reform and Collateral Management: The Impact on Major Participants in the OTC Derivatives Markets
Regulatory Reform and Collateral Management: The Impact on Major Participants in the OTC Derivatives Markets 4 J.P. Morgan thought / Winter 2012 The new regulations that will take effect in the wake of
More informationP2.T5. Market Risk Measurement & Management. BIS # 19, Messages from the Academic Literature on Risk Measuring for the Trading Books
P2.T5. Market Risk Measurement & Management BIS # 19, Messages from the Academic Literature on Risk Measuring for the Trading Books Bionic Turtle FRM Study Notes Reading 38 By David Harper, CFA FRM CIPM
More informationProposed Margin Requirements for Uncleared Swaps Under Dodd-Frank
Proposed Margin Requirements for Uncleared Swaps Under Dodd-Frank Federal Reserve Board, OCC, FDIC, Farm Credit Administration and Federal Housing Finance Agency Repropose Rules for Minimum Margin and
More informationProduct Key Facts Franklin Templeton Asia Fund Series Franklin Select Global Multi-Asset Income Fund Last updated: April 2018
Product Key Facts Franklin Templeton Asia Fund Series Franklin Select Global Multi-Asset Income Fund Last updated: April 2018 This statement provides you with key information about this product. This statement
More informationFederated Prudent Bear Fund
Prospectus November 30, 2018 The information contained herein relates to all classes of the Fund s Shares, as listed below, unless otherwise noted. Share Class Ticker A BEARX C PBRCX Institutional PBRIX
More informationFinancial Statements. For the year ended 30 June 2017
Financial Statements Statement of comprehensive income 18 Balance sheet 19 Statement of changes in equity 20 Statement of cash flows 21 22 n 24 n Long Term Assets 39 n Other information 41 Certificate
More informationSUMMARY PROSPECTUS SIIT Dynamic Asset Allocation Fund (SDLAX) Class A
September 30, 2018 SUMMARY PROSPECTUS SIIT Dynamic Asset Allocation Fund (SDLAX) Class A Before you invest, you may want to review the Fund s prospectus, which contains information about the Fund and its
More informationPrincipal Listing Exchange for each Fund: Cboe BZX Exchange, Inc.
EXCHANGE TRADED CONCEPTS TRUST Prospectus March 30, 2018 REX VolMAXX TM LONG VIX WEEKLY FUTURES STRATEGY ETF (VMAX) REX VolMAXX TM SHORT VIX WEEKLY FUTURES STRATEGY ETF (VMIN) Principal Listing Exchange
More informationFederal Reserve Adopts Single Counterparty Credit Limits
Debevoise In Depth Federal Reserve Adopts Single Counterparty Credit Limits July 10, 2018 On June 14, 2018, the Federal Reserve Board (the FRB ) adopted regulations (the Final Rule ) to implement the single-counterparty
More informationMerrill Lynch, Pierce, Fenner & Smith Incorporated and Subsidiaries (SEC ID No ) Consolidated Balance Sheet (Unaudited) June 30, 2011
Merrill Lynch, Pierce, Fenner & Smith Incorporated and Subsidiaries (SEC ID No. 8-7221) Consolidated Balance Sheet (Unaudited) Consolidated Balance Sheet (Unaudited) ASSETS Cash and cash equivalents $
More informationMARGIN FOREIGN EXCHANGE Metatrader 4 PRODUCT DISCLOSURE STATEMENT. Issue Date: 23rd December 2016
MARGIN FOREIGN EXCHANGE Metatrader 4 PRODUCT DISCLOSURE STATEMENT Issue Date: 23rd December 2016 Contents Section 1: Important Information Page 03 Section 2: Key Information Page 05 Section 3: How to Trade
More informationSTATE BOARD OF REGENTS OF THE STATE OF UTAH STUDENT LOAN PURCHASE PROGRAM An Enterprise Fund of the State of Utah
An Enterprise Fund of the State of Utah Financial Statements AN ENTERPRISE FUND OF THE STATE OF UTAH FOR THE NINE MONTHS ENDED MARCH 31, 2014 TABLE OF CONTENTS Page MANAGEMENT S REPORT 1 FINANCIAL STATEMENTS:
More informationFirst Southwest Company, LLC Index June 30, 2015 (Unaudited)
S t a t e m e n t o f Financial Condition Statement of Financial Condition (Unauditied) FirstSouthwest Index Page(s) Statement of Financial Condition... 1 Notes to Statement of Financial Condition... 2
More informationINTERCONTINENTALEXCHANGE INC
INTERCONTINENTALEXCHANGE INC FORM 10-Q (Quarterly Report) Filed 11/02/11 for the Period Ending 09/30/11 Address 2100 RIVEREDGE PARKWAY SUITE 500 ATLANTA, GA 30328 Telephone 7708574700 CIK 0001174746 Symbol
More informationRisk Management and Hedging Strategies. CFO BestPractice Conference September 13, 2011
Risk Management and Hedging Strategies CFO BestPractice Conference September 13, 2011 Introduction Why is Risk Management Important? (FX) Clients seek to maximise income and minimise costs. Reducing foreign
More informationCounterparty Credit Risk
Counterparty Credit Risk Alex Yang FinPricing http://www.finpricing.com Summary Counterparty Credit Risk Definition Counterparty Credit Risk Measures Close Out Master Agreement CSA Agreement Final Credit
More informationSwap hedging of foreign exchange and interest rate risk
Lecture notes on risk management, public policy, and the financial system of foreign exchange and interest rate risk Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: March 18, 2018 2
More informationThe Impact of Initial Margin
The Impact of Initial Margin Jon Gregory Copyright Jon Gregory 2016 The Impact of Initial Margin, WBS Fixed Income Conference, Berlin, 13 th October 2016 page 1 Working Paper The Impact of Initial Margin,
More informationCHARACTERISTICS OF FINANCIAL INSTRUMENTS AND A DESCRIPTION OF
CHARACTERISTICS OF FINANCIAL INSTRUMENTS AND A DESCRIPTION OF RISK I. INTRODUCTION The purpose of this document is to provide customers with the essence of financial instruments offered on unregulated
More informationDBX ETF Trust. Statement of Additional Information. Dated October 2, 2017, as supplemented June 6, 2018
DBX ETF Trust Statement of Additional Information Dated October 2, 2017, as supplemented June 6, 2018 This combined Statement of Additional Information ( SAI ) is not a prospectus. It should be read in
More informationProduct Disclosure Statement
FOREIGN EXCHANGE TRANSACTIONS Product Disclosure Statement 28 November 2018 Kiwibank Limited as issuer This document is a replacement product disclosure statement, replacing the Product Disclosure Statement
More informationAdministrative Notice No. 7 Implementation of the Capital Adequacy Directive for Credit Institutions
No. 7 Implementation of the Capital Adequacy Directive for Credit Institutions Date of Paper : 23 January 1998 Revised 5th May 2006 Version Number : V1.02 File Location : document2 Table of Contents Preface...
More informationMERRILL LYNCH PROFESSIONAL CLEARING CORP. (S.E.C. I.D. No ) BALANCE SHEET AS OF JUNE 27, 2008 (UNAUDITED) * * * * * * *
MERRILL LYNCH PROFESSIONAL CLEARING CORP. (S.E.C. I.D. No. 8-33359) BALANCE SHEET AS OF JUNE 27, 2008 (UNAUDITED) * * * * * * * MEMBERS NEW YORK STOCK EXCHANGE, INC. AND OTHER PRINCIPAL U.S. EXCHANGES
More informationAFRICAN EXPORT-IMPORT BANK
BANQUE AFRICAINE D IMPORT-EXPORT (AFREXIMBANK) ` REVIEW OF OPERATING RESULTS AND FINANCIAL STATEMENTS FOR THE INTERIM PERIOD ENDED 30 JUNE 2017 REVIEW OF OPERATING RESULTS FOR THE SIX MONTHS ENDED 30 JUNE
More informationInvesco V.I. Government Securities Fund
Prospectus April 30, 2018 Series I shares Invesco V.I. Government Securities Fund Shares of the Fund are currently offered only to insurance company separate accounts funding variable annuity contracts
More informationInvestec Bank plc financial information (a subsidiary of Investec plc)
Investec Bank plc financial information (a subsidiary of Investec plc) consolidated financial information for the six months ended 30 September 2013 IFRS - Pounds Sterling Overview of results 30 Sept 2013
More informationRisks. Complex Products. General risks of trading. Non-Complex Products
We offer a wide range of investments, each with their own risks and rewards. The following information provides you with a general description of the nature and risks of the investments that you can trade
More informationOverview of results. 31 March Sept Sept 2016 % change
Investec Bank plc FINANCIAL INFORMATION (a subsidiary of Investec plc) Unaudited consolidated financial information for the six months ended 30 September IFRS Pounds Sterling Overview of results 30 Sept
More informationOverview of ISDA Standard Credit Support Annex (SCSA)
Overview of ISDA Standard Credit Support Annex (SCSA) November 3, 2011 2011 International Swaps and Derivatives Association, Inc. ISDA is a registered trademark of the International Swaps and Derivatives
More informationP2.T5. Market Risk Measurement & Management. Bruce Tuckman, Fixed Income Securities, 3rd Edition
P2.T5. Market Risk Measurement & Management Bruce Tuckman, Fixed Income Securities, 3rd Edition Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Tuckman, Chapter 6: Empirical
More information1.1. Funded credit protection
ANNEX E-1 Eligibility This section sets out the assets and third party entities that may be recognised as eligible sources of funded and unfunded credit protection respectively for the purposes of granting
More information1.2 Product nature of credit derivatives
1.2 Product nature of credit derivatives Payoff depends on the occurrence of a credit event: default: any non-compliance with the exact specification of a contract price or yield change of a bond credit
More informationCalculating Counterparty Exposures for CVA
Calculating Counterparty Exposures for CVA Jon Gregory Solum Financial (www.solum-financial.com) 19 th January 2011 Jon Gregory (jon@solum-financial.com) Calculating Counterparty Exposures for CVA, London,
More informationRegulatory Reform of the Over-the- Counter Derivatives Markets: A Solution for the AIG Catastrophe?
Regulatory Reform of the Over-the- Counter Derivatives Markets: A Solution for the AIG Catastrophe? Prof. Nancy Wallace University of California, Berkeley Haas School of Business October 10, 2009 Amplification
More informationFirstCaribbean International Bank (Bahamas) Limited
FirstCaribbean International Bank (Bahamas) Limited Financial Statements 2003 PricewaterhouseCoopers Providence House East Hill Street P.O. Box N-3910 Nassau, Bahamas Website: www.pwcglobal.com E-mail:
More informationNATIONAL BANK OF CANADA FINANCIAL INC.
Statement of Financial Condition As of (Unaudited) NATIONAL BANK OF CANADA FINANCIAL INC. (SEC I.D. No. 8-39947) Table of Contents Statement of Financial Condition... 1 Notes to Statement of Financial
More informationNotes to Consolidated Financial Statements
TD BANK FINANCIAL GROUP ANNUAL REPORT 2003 Financial Results 59 Notes to Consolidated Financial Statements NOTE Summary of significant accounting policies Bank Act The Bank Act stipulates that the Consolidated
More information