1. Nicole Seaman

    P1.T3.21.10. Exchanges and OTC Markets

    Learning objectives: Describe how exchanges can be used to alleviate counterparty risk. Explain the developments in clearing that reduce risk. Describe netting and describe a netting process ... Describe the role of collateralization in the OTC market and compare it to the margining system...
  2. Nicole Seaman

    P2.T6.914. Pricing counterparty risk with the credit value adjustment (CVA) (Gregory Ch.14)

    Learning objectives: Explain the motivation for and the challenges of pricing counterparty risk. Describe credit value adjustment (CVA). Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization. Questions: 914.1. Your colleague has drafted guidance for your firm's...
  3. Nicole Seaman

    P2.T6.912. The impact of collateral on counterparty risk and funding (Gregory Ch.7)

    Learning objectives: Explain the impact of collateralization on exposure, and assess the risk associated with the remargining period, threshold, and minimum transfer amount. Assess the impact of collateral on counterparty risk and funding, with and without segregation or rehypothecation...
  4. Nicole Seaman

    P2.T6.907. Collateral and the margin period of risk (Gregory Ch.6)

    Learning objectives: Differentiate between a two-way and one-way CSA agreement and describe how collateral parameters can be linked to credit quality. Explain aspects of collateral including funding, rehypothecation and segregation. Explain how market risk, operational risk, and liquidity risk...
  5. Nicole Seaman

    P2.T6.906. Features of a collateralization agreement (Gregory Ch.6)

    Learning objectives: Describe the mechanics of collateral and the types of collateral that are typically used. Explain the process for the reconciliation of collateral disputes. Explain the features of a collateralization agreement. Questions: 906.1. According to Gregory, collateral agreements...
  6. Nicole Seaman

    P1.T3.709. Futures contracts (Hull Chapter 2, continued)

    Learning objectives: Explain the convergence of futures and spot prices. Describe the role of a clearinghouse in futures and over-the-counter market transactions. Describe the role of collateralization in the over-the-counter market and compare it to the margining system. Identify the...