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Portfolio Compression
Techniques to Manage EMIR and Other Regulatory and Trading Risks
Discipline: Quantitative Analysis, Investing, Derivatives & Options
No of pages: 226
First published:
ISBN: 9781782722137
Portfolio Compression is a one-stop guide for compressions, applicable to all derivatives, with a particular focus on energy trading products. This book provides a step-by-step, pragmatic description of this technique that reduces the transactions in a portfolio, while taking care that profits and risk remain the same or within acceptable differences. Compressions are not only a requirement under EMIR and Dodd Frank, but have also been used by trading companies to reduce cost of capital, regulatory, operational, credit and collateral risk.
Contents
Introduction
From the Financial Crisis to Portfolio Compression
Portfolio Compression in the Derivatives Markets
Risk-mitigation Techniques Under EMIR
Credit Risk in Energy Trading
Understanding and Analysing Portfolio Compression
How to Run a Portfolio Compression Cycle
Compressing Financial Derivatives, the Role of Clearing and Emerging Post-Trade Management Solutions