All Questions
Tagged with collateral margin
7 questions
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Calculating PFE of a repo trade
What is the market practice to calculate PFE (Potential Future Exposure) of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, ...
- 101
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How to apply a funded equity collar to illiquid stocks?
I investigate a specific case of the funded equity collar [1].
Let's assume that counterparty $A$ already has a stake in share $XYZ$ and wants to get funding out of it from a bank $B$, which does not ...
- 21
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212
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Operational aspects of repo funding trades
It is widely known that repurchase agreements ("repos") are regularly used by market participants as a mean to fund long/short positions in a certain asset, in particular for derivative ...
- 8,219
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Possible to have different collateral for each party?
Normally bilateral credit support annexes would have both parties post/receive the same collateral be it US treasuries or cash etc. Are there CSAs
Where each party has a different set of eligible ...
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Quantitative impact of Dodd-Frank Act on risk management
The US Dodd-Frank Act (DFA) introduced mandatory central clearing of standard (e.g. plain vanilla) swaps for big financial institutions in the US in 2013.
It might be a broad question but: what have ...
- 161
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Funded equity collars and margin loans
There is an article in the Financial Times today concerning equity funded collars [1]. The equity collar structure is used by a counterparty $A$ which wants to build up a position in a stock $S_t$. ...
- 8,219
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How to estimate quantitatively the settlement period?
The context of this question is Counterparty Credit Risk. In particular, the modelling of collateral for non-cleared OTC derivatives.
Regulators require collateral amounts, such as Variation Margin ...
