December 8, 2013

Weekly Roundup | Collateral & Risk Management | 9 December 2013

Collateral Management

The $5 Trillion Dilemma Facing Banking Regulators

Last month, I wrote about bond-market illiquidity — the problem that it’s incredibly difficult to buy and sell bonds in any kind of volume, especially if they’re not Treasuries. That’s a big issue — but it turns out there’s an even bigger issue hiding in the same vicinity. Reuters: The $5 Trillion Dilemma Facing Banking Regulators.

4Sight White Paper: Financial Firms Can Maintain Profitability by Optimising Collateral, Regulatory Capital and CCP Selection

Financial institutions can maintain profitability when faced with new regulatory cost pressures by optimising collateral, regulatory capital and CCP selection, according to a white paper by 4sight, a leading provider of software for financial institutions. Securities Finance Monitor: 4Sight White Paper: Financial Firms Can Maintain Profitability by Optimising Collateral, Regulatory Capital and CCP Selection.

BNY Mellon and Bloomberg Link for Collateral Management Processing

BNY Mellon, the global leader in investment management and investment services, is enhancing its AccessEdge portal via a new link with Bloomberg to help clients further optimise their collateral management. Securities Finance Monitor: BNY Mellon and Bloomberg Link for Collateral Management Processing.

Why Collateral Research Misses the Point

There may be an aggregate collateral surplus, but pension funds and other firms that would face big margin calls in a rising-rate environment are not reassured. Risk: Why Collateral Research Misses the Point.


Risk Management

Counterparty Valuation Adjustment Analytics 101

Found some old prose for a study I wrote on Counterparty Valuation Adjustment for OTC derivatives. I was thinking to pull this together for publication back in the day and then saw Jon Gregory’s CVA book was already out on the shelves, so this prose kind of got lost. I had not looked at it for a couple years and the details on the per trade mitigants was not foremost in my memory when I reread this. It isn’t bad. Pink Iguana: Counterparty Valuation Adjustment Analytics 101.

Cutting Edge Introduction: Fixing FVA

The funding valuation adjustment (FVA) is the biggest controversy of recent times in quantitative finance. Now the authors of the original FVA paper are back – and think there may be a solution. Laurie Carver introduces this month’s technical articles. Risk: Cutting Edge Introduction: Fixing FVA.


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