Case study
Counterparty exposure before the trade and under stress
For heads of counterparty risk: PFE, limit usage and SA-CCR exposure a trade adds to its netting set before it is booked, and the same exposures re-run under stress when markets move, as supervisors now ask.
Case study, 5 pages, PDF. Sent on request, to a company email.
What it covers
- PFE with and without initial margin, limits and SA-CCR before and after the candidate trade
- Several candidates, a restructuring or an unwind compared on one screen, on the same models and market data as the end of day
- Stress on the live book without an IT request, for the hedge-fund and non-bank exposures supervisors are watching
