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January 28, 2013

New Book on Central Clearing by David Murphy (Deus Ex Macchiato) plus Me

David Murphy formerly Head of Risk at ISDA has written a new book on all the gory details of Central Clearing, due out later this year. Chapter 7 describes the current and future market infrastructure for OTC products, and is written by myself. Full details over at DEM: http://blog.rivast.com/?p=6840 or see below: Coming to good bookshops near you soon: My new book, OTC Derivatives: Bilateral Trading & Central Clearing will be delivered to the publisher this week. These roughly 300 pages of goodness should be out in the summer. Just to whet your appetites, here’s the table of contents. Introduction Chapter 1 – Over-The-Counter Derivatives 1.1 OTC Derivatives: Trading And Its Consequences 1.2 The Risks of OTC Derivatives 1.3 The Pre-Crisis OTC Derivatives Market Chapter 2 – The Counterparty Relationship 2.1 Portfolios and Payment Netting 2.2 Default and Close Out Netting 2.3 Credit Support: Margin and Collateral 2.4 Rehypothecation and Funding 2.5 Novation, Standardisation and Simplification Chapter 3 – The Valuation and Risk of OTC Derivatives 3.1 Derivatives Valuation Under a CSA 3.2 Estimates of Default Risk and CVA Management 3.3 Counterparty Credit Risk 3.4 The Risks in Credit Support and Procyclicality 3.5 Wrong Way Risks 3.6 Regulatory Capital Requirements for Default Risk Chapter 4 – The Role of OTC Derivatives in the Crisis 4.1 The Dogs That Barked and The Dogs That Didn’t 4.2 A Very Short History of the Financial Crisis 4.3 Credit Derivatives In The Crisis 4.4 OTC Derivatives and Interconnectedness 4.5 Broader Vulnerabilities Chapter 5 – Regulatory Responses To The Crisis 5.1 Capital 5.2 Liquidity Risk 5.3 Pre– and Post-Trade Reporting 5.4 Disclosure 5.5 Interconnectedness 5.6 Resolution 5.7 Risk Coverage Chapter 6 – OTC Derivatives Central Clearing 6.1 OTC Derivatives Central Counterparties 6.2 Clearing and Clearing Houses 6.3 Organisational and Legal Issues 6.4 Client Clearing 6.5 Margin and Default Management 6.6 Segregation for Cleared OTC Portfolios Chapter 7 – The Emerging OTC Market Infrastructure by Bill Hodgson 7.1 The Current Bilateral OTC Environment 7.2 Trading In The Future Cleared OTC Environment 7.3 CCP Processes For Clearing Members 7.4 Clearing For Clients 7.5 Other Issues Chapter 8 – Risks in OTC Derivatives Central Clearing 8.1 Risks To CCPs 8.2 CCP Risk I: Mitigation 8.3 CCP Risk II: Externalities 8.4 Risks from CCPs 8.5 Risks from Mandatory Clearing Chapter 9 – Design Choices in Central Clearing and their Consequences 9.1 Financial resources 9.2 CCP Organisation 9.3 Clearing Mandates 9.4 Opposing paradigms 9.5 Deconstructing an OTC derivatives CCP Chapter 10 – The Aftermath of Mandatory Central Clearing 10.1 Winner and Losers 10.2 The Future of OTC Derivatives Markets 10.3 The Impact of Mandatory Clearing on End Users 10.4 Post-crisis Ruling Making and its Consequences Index Posted in: Clearing and Collateral, Publications by David /


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