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Pricing And Hedging Of Contingent Credit Lines
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Book Synopsis Pricing and Hedging of Contingent Credit Lines by : Salih N. Neftci
Download or read book Pricing and Hedging of Contingent Credit Lines written by Salih N. Neftci and published by INTERNATIONAL MONETARY FUND. This book was released on 2006-01-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contingent credit lines (CCLs) are widely used in bank lending and also play an important role in the functioning of short-term capital markets. Yet, their pricing and hedging has not received much attention in the finance literature. Using a financial engineering approach, the paper analyzes the structure of simple CCLs, examines methods for their pricing, and discusses the problems faced in hedging CCL portfolios.
Book Synopsis Modelling, Pricing, and Hedging Counterparty Credit Exposure by : Giovanni Cesari
Download or read book Modelling, Pricing, and Hedging Counterparty Credit Exposure written by Giovanni Cesari and published by Springer Science & Business Media. This book was released on 2009-12-06 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.
Book Synopsis Banking Crises, Liquidity, and Credit Lines by : Gurbachan Singh
Download or read book Banking Crises, Liquidity, and Credit Lines written by Gurbachan Singh and published by Routledge. This book was released on 2012-06-14 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: The banking crises in 2007-10 are not exceptional. There have been many such crises in the past in both developed countries and emerging economies. A banking crisis can be related to solvency or liquidity (or both). This book focuses on banking crisis and liquidity. This book starts from basics and gradually builds up with very few technicalities. Though the analysis is primarily theoretical, we provide a historical background, a macroeconomic perspective, and policy implications for both closed and open economies.
Book Synopsis Global Cooperation Among G20 Countries by : Michael Callaghan
Download or read book Global Cooperation Among G20 Countries written by Michael Callaghan and published by Springer Science & Business Media. This book was released on 2013-12-09 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the outbreak of the global financial crisis, 2008, the G20 was widely acknowledged as helping prevent an even more serious decline in the global economy. It helped to calm the panic in financial markets and articulate a set of possible policy options to restore global stability and growth. However, as the dual-track recovery set in, policy options for advanced economies and EMEs diverged. Within this context, this book will explore the scope for cooperation amongst the G20 and the diverging challenges and the intricate interconnectedness of policy options between advanced economies and the EMEs within the G20.
Book Synopsis The Theory of Corporate Finance by : Jean Tirole
Download or read book The Theory of Corporate Finance written by Jean Tirole and published by Princeton University Press. This book was released on 2010-08-26 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Magnificent."—The Economist From the Nobel Prize–winning economist, a groundbreaking and comprehensive account of corporate finance Recent decades have seen great theoretical and empirical advances in the field of corporate finance. Whereas once the subject addressed mainly the financing of corporations—equity, debt, and valuation—today it also embraces crucial issues of governance, liquidity, risk management, relationships between banks and corporations, and the macroeconomic impact of corporations. However, this progress has left in its wake a jumbled array of concepts and models that students are often hard put to make sense of. Here, one of the world's leading economists offers a lucid, unified, and comprehensive introduction to modern corporate finance theory. Jean Tirole builds his landmark book around a single model, using an incentive or contract theory approach. Filling a major gap in the field, The Theory of Corporate Finance is an indispensable resource for graduate and advanced undergraduate students as well as researchers of corporate finance, industrial organization, political economy, development, and macroeconomics. Tirole conveys the organizing principles that structure the analysis of today's key management and public policy issues, such as the reform of corporate governance and auditing; the role of private equity, financial markets, and takeovers; the efficient determination of leverage, dividends, liquidity, and risk management; and the design of managerial incentive packages. He weaves empirical studies into the book's theoretical analysis. And he places the corporation in its broader environment, both microeconomic and macroeconomic, and examines the two-way interaction between the corporate environment and institutions. Setting a new milestone in the field, The Theory of Corporate Finance will be the authoritative text for years to come.
Book Synopsis Credit, Currency or Derivatives by : Michael G. Papaioannou
Download or read book Credit, Currency or Derivatives written by Michael G. Papaioannou and published by Emerald Group Publishing. This book was released on 2009-11-13 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains original papers that examine various issues concerning the role, the structure and functioning of credit, currency and derivatives instruments and markets as they relate to financial crises. This title stresses the importance of the inter-linkages of these instruments and markets in promoting or hindering financial stability or crises.
Author :International Monetary Fund. Policy Development and Review Dept. Publisher :International Monetary Fund ISBN 13 :1498333788 Total Pages :26 pages Book Rating :4.4/5 (983 download)
Book Synopsis Further Consideration of a New Liquidity Instrument for Market Access Countries - Design Issues by : International Monetary Fund. Policy Development and Review Dept.
Download or read book Further Consideration of a New Liquidity Instrument for Market Access Countries - Design Issues written by International Monetary Fund. Policy Development and Review Dept. and published by International Monetary Fund. This book was released on 2007-02-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on a specific set of issues -- qualification criteria, monitoring structure, access levels and terms, links to other Fund facilities, and links to the private sector. This paper is a complement and follow-up to an earlier paper, which itself considered the broader issues involved in creating a new instrument. The paper does not put forward a concrete proposal to Directors, but seeks to achieve a further convergence of views on these key issues.
Book Synopsis Financial Stability, Systems and Regulation by : Jan Kregel
Download or read book Financial Stability, Systems and Regulation written by Jan Kregel and published by Routledge. This book was released on 2018-10-03 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ever since the 2007–8 global financial crisis and its aftermath, Hyman Minsky’s theory has never been more relevant. Throughout his career, Jan Kregel has called attention to Minsky’s contributions to understanding the evolution of financial systems, the development of financial fragility and instability, and designing the financial structure necessary to support the capital development of the economy. Building on Minsky, Kregel developed a framework to analyze how different financial structures develop financial fragility over time. Rather than characterizing financial systems as market-based or bank-based, Kregel argued that it is necessary to distinguish between the risks that are carried on the balance sheets of banks and other financial institutions. This volume, brought together by Felipe C. Rezende, highlights these major contributions from Kregel through a collection of his influential papers from various journals and conferences. Kregel’s approach provides a strong theoretical background to understand the making and unfolding of the crisis and helps us to draw policy implications to improve financial stability, and suggest an alternative financial structure for a market economy. In this book, his knowledge is consolidated and the ideas he puts forward offer a path for future developments in economics which will be of great interest to those studying and researching in the fields of economics and finance.
Author :International Monetary Fund. Strategy, Policy, & Review Department Publisher :International Monetary Fund ISBN 13 :1498338321 Total Pages :59 pages Book Rating :4.4/5 (983 download)
Book Synopsis Managing Volatility in Low-Income Countries - The Role and Potential for Contingent Financial Instruments by : International Monetary Fund. Strategy, Policy, & Review Department
Download or read book Managing Volatility in Low-Income Countries - The Role and Potential for Contingent Financial Instruments written by International Monetary Fund. Strategy, Policy, & Review Department and published by International Monetary Fund. This book was released on 2011-10-31 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the case for contingent financial instruments for low-income countries (LICs), from both the market and official sector. These include commodity price hedging instruments, contingent debt instruments (commodity-linked bonds, deferred repayment loans), and natural disaster insurance, for example. The paper considers the adequacy of the existing framework of ex post and ex ante support to LICs facing exogenous shocks, and examines the need for and possible constraints to greater availability of contingent instruments. Would there be a role for the international community, particularly the IMF and World Bank, in helping to address the constraints that limit development and use of these instruments?
Book Synopsis Economic Development and Financial Instability by : Jan A. Kregel
Download or read book Economic Development and Financial Instability written by Jan A. Kregel and published by Anthem Press. This book was released on 2014-10-15 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jan A. Kregel is considered to be “the best all-round general economist alive” (G. C. Harcourt). This is the first collection of his essays dealing with a wide range of topics reflecting the incredible depth and breadth of Kregel’s work. These essays focus on the role of finance in development and growth. Kregel has expanded Minsky’s original postulate that in capitalist economies stability engenders instability in international economy, and this volume collect’s Kregel’s key works devoted to financial instability, its causes and effects. The volume also contains Kregel’s most recent discussions of the Great Recession beginning in 2008.
Book Synopsis Risk Management by : Michael Frenkel
Download or read book Risk Management written by Michael Frenkel and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 842 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Book Synopsis Counterparty Credit Risk by : Jon Gregory
Download or read book Counterparty Credit Risk written by Jon Gregory and published by John Wiley & Sons. This book was released on 2011-09-07 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.
Book Synopsis Assessing Reserve Adequacy - Further Considerations by : International Monetary Fund
Download or read book Assessing Reserve Adequacy - Further Considerations written by International Monetary Fund and published by International Monetary Fund. This book was released on 2013-11-14 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reserves remain a critical liquidity buffer for most countries. They are generally associated with lower crisis risks (crisis prevention) as well as space for authorities to respond to shocks (crisis mitigation). While other instruments, such as official credit lines and bilateral swap lines, are also external buffers, for most countries they principally act as a complement to their official reserves. For countries with sound fundamentals and a good policy framework, reserves provide policy makers with considerable space to respond to transitory shocks. However, this space diminishes as fundamentals deteriorate and the existence of adequate reserves does not, by itself, eliminate the risk of market pressures.
Book Synopsis Managing Financial and Corporate Distress by : Charles Adams
Download or read book Managing Financial and Corporate Distress written by Charles Adams and published by Rowman & Littlefield. This book was released on 2010-12-01 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: A World Bank, International Monetary Fund, and Brookings Institution publication More than three years have elapsed since the East Asian financial crisis erupted, threatening economic and financial stability in the region and beyond. Although many of the region's economies have since staged a remarkable turnaround, much additional restructuring and reform is needed. Managing Financial and Corporate Distress: Lessons from Asia, stands out from other works on the East Asian crisis by moving beyond macroeconomic assessments to offer an institutional treatment of the microeconomic aspects of the corporate and bank restructuring. Contributors draw on their practical, hands-on expertise in various aspects of finance to provide complementary perspectives on how best to set in place strong and responsive institutions that might be able to resolve and avoid future crises in other emerging markets.
Book Synopsis Nicaragua by : International Monetary
Download or read book Nicaragua written by International Monetary and published by International Monetary Fund. This book was released on 2023-01-27 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Substantial pre-crisis buffers (primarily government deposits), prudent policies, and official external financial assistance helped Nicaragua recover well from a protracted downturn during 2018-2020 caused by the socio-political crisis of 2018, two major hurricanes in 2020, and the pandemic. Real gross domestic product (GDP) grew by 10.3 percent in 2021 and is projected to grow by 4 percent in 2022, despite hurricane Julia that affected the country in October. Inflation on an annual basis reached 11.4 percent in November 2022, mostly due to increases in import prices. The authorities introduced fiscal measures to mitigate the impact of the increases in oil and wheat prices, and also increased the reference interest rate. Bank deposits are growing strongly and reached the pre-crisis level (in Córdobas). Gross international reserves have doubled since end-2018 (to over US$4 billion; about 6 months of imports, excluding maquila).
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Walford written by Ray Lester and published by Facet Publishing. This book was released on 2005 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers 15 broad subject groupings: social sciences (generic); psychology; sociology; social work & social welfare; politics; government; law; finance, accountancy & taxation; industries & utilities; business & management; education & learning; sport; media & communications; information & library sciences; and tools for information professionals.
