Credit support annex (csa)
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit support annex (csa) articles
In recent years, derivatives pricing has become increasingly complex, assuming a far greater significance than it had previously. In this sponsored statement, Wayne Dennehy, co-head markets structuring and quantitative analysis, Kumeshen Naidoo, risk...
Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future