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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.
