Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes Damiano Brigo, Massimo Morini, Andrea Pallavicini
Publisher: Wiley

Nov 18, 2013 - And asset encumbrance is fostered by the implicit public guarantees against credit risk that have been provided in the past to too-big-to-fail banks and the guarantees against liquidity risk are still being provided by central banks. Assets” that are no longer priced pursuant to CAP-M That is, the special asset class here is those assets that do not require much diligence before a counterparty purchases the assets or accepts the assets as collateral. Mar 18, 2009 - Investment Funds Risk Assessment. A borrower, in all cases, is not permitted to collateralize a TALF loan with ABS that was securitized by the borrower or by an affiliate of the borrower. Times appear Well this is the best case for fiscal stimulus I have read yet. Eligible Receivables for Non-Mortgage-Backed ABS. Government securities can be explained by risk premia, but yet many other indicators of risk are these days not so extreme. Dec 10, 2013 - Some portion of the negative real returns on U.S. What they cannot do is avoid counterparty credit risk, although presumably they could reduce their exposure to asset prices by limiting their lending to the financial sector. Issuer Certifications, Auditor Assurances and SBA Documentation for ABS Other Than Legacy CMBS Haircuts and Rates Collateral Monitors and Other Agents .. "Investors" in this case means institutional investors and high net worth individuals. This is why the Fed provided .. As easily run a net short position. All asset classes are affected, including "safe" assets used by commercial banks as collateral for central bank funding.