Name: Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty (en Inglés)
SKU: 59866799
Price: 449.77 MXN
Availability: InStock
Author: Gibson, Michael S. ; United States Federal Reserve Board
ISBN: 9781288711413

portada Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty (en Inglés)

Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Michael S. Gibson

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6x18.9x0.1 cm

Peso

0.06 kg.

ISBN13

9781288711413

Categorías

Política y gobierno

Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty (en Inglés)

United States Federal Reserve Board (Autor) · Michael S. Gibson (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty (en Inglés)"

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.