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The rules relating to mark-to-market accounting have always been, in my opinion, ridiculous. Citigroup have to mark their liabilities to a fair value, and in this case, where it is their own debt, part of the pricing require that they consider the potential of their own default. The more likely it becomes, that the bank defaults the less the banks swaps is ...

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As I see it, the term $\Pi_B(t, T)$ is the value of the derivatives already owned by the bank. So, it's not some price they need to pay but an asset on the balance sheet. This increase in asset value leads to a profit. Balance sheet Example Imagine the balance sheet of OTC Subsidiary with rating A: Assets | Liabilities ...

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In this context, I believe carry refers to the sum of "pure" carry + roll down. Carry, in the most general sense, is the return of a position in a static world; i.e., assuming time is the only variable that is changing, what's your holding period return on a trade? When you buy a bond, the "total carry" is the sum of 1) "Pure" carry – you get interest ...

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I don't know a tutorial on the Internet but I have a book on the topic what I think you should be interested. http://www.amazon.com/Counterparty-Credit-Risk-Value-Adjustment/dp/1118316673/ref=sr_1_1?ie=UTF8&qid=1407892834&sr=8-1&keywords=counterparty+credit+risk The book is a non-mathematical introduction to counter-party credit risk. It ...

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Islamic Banking (IB) has a different view on financial risk: The required minimum share holders equity must be lower than for counterparties in conventional banks because credit risk is also shouldered by unrestricted deposits owners, as the IB gives autorisation to use them in investments at its own discretion.

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Most, but far from all, companies maintain a relatively steady debt load. When a bond matures, they fund its principal payout with a new bond. Sometimes companies do take on more and more debt, meaning that CDS protection sold during earlier times of small debt loads becomes more valuable (and underpriced, from the point of view of the protection seller). ...

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