Beruflich Dokumente
Kultur Dokumente
Third Edition
Jon Gregory
WILEY
Contents
Acknowledgements xxiii
1 Introduction 1
4 Counterparty Risk 25
4.1 Background 25
4.1.1 Counterparty risk versus lending risk 25
4.1.2 Settlement and pre-settlement risk 26
4.1.3 Mitigating counterparty risk 28
4.1.4 Exposure and product type 29
4.1.5 Setups 31
4.2 Components 32
4.2.1 Mark-to-market and replacement cost 33
4.2.2 Credit exposure 33
4.2.3 Default probability, credit migration and credit spreads 34
4.2.4 Recovery and loss given default 35
4.3 Control and quantification 36
4.3.1 Credit limits 36
4.3.2 Credit value adjustment 38
4.3.3 CVA and credit limits 38
4.3.4 What does CVA represent? 39
4.3.5 Hedging counterparty risk 41
4.3.6 TheCVAdesk 42
4.4 Beyond CVA 43
4.4.1 Overview 43
4.4.2 Economic costs of an OTC derivative 43
4.4.3 xVA terms 44
4.5 Summary 46
6 Collateral 67
6.1 Introduction 67
6.1.1 Rationale for collateral 67
6.1.2 Analogy with mortgages 69
6.1.3 Variation margin and initial margin 69
6.2 Collateral terms 70
6.2.1 The credit support annex (CSA) 70
6.2.2 Types of CSA 71
6.2.3 Threshold 73
6.2.4 Initial margin 74
6.2.5 Minimum transfer amount and rounding 74
6.2.6 Haircuts 75
6.2.7 Linkage to credit quality 77
6.2.8 Credit support amount 78
6.2.9 Impact of collateral on exposure 79
6.3 Mechanics of collateral 80
6.3.1 Collateral call frequency 80
6.3.2 Valuation agents, disputes and reconciliations 81
6.3.3 Title transfer and security interest 82
6.3.4 Coupons, dividends and remuneration 83
6.4 Collateral and funding 84
6.4.1 Overview 84
6.4.2 Substitution 84
6.4.3 Rehypothecation 85
6.4.4 Segregation 87
6.4.5 Variation and initial margin rehypothecation and segregation 88
6.4.6 Standard CSA 89
6.5 Collateral usage 90
6.5.1 Extent of collateralisation 90
6.5.2 Coverage of collateralisation 91
6.5.3 Collateral type 92
6.6 The risks of collateral 93
6.6.1 Collateral impact outside OTC derivatives markets 93
6.6.2 Market risk and the margin period of risk 94
6.6.3 Operational risk 96
6.6.4 Legal risk 97
6.6.5 Liquidity risk 98
6.6.6 Funding liquidity risk 98
x Contents
Glossary 445
References 447
Index 457