Modelling the Nature of Close-out Netting on Bank Portfolios : An Analysis of how Financial Institutions can Minimize their FX Exposures via Close-out Netting their Interbank Lending and Derivative Deals

TARANTO ALDO

ISBN 10: 3639095715 / ISBN 13: 9783639095715

Published by VDM Verlag, 2008

About this Item

Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar.

Seller Inventory # 4814111/1

Bibliographic Details

• Title: Modelling the Nature of Close-out Netting on Bank Portfolios : An Analysis of how Financial Institutions can Minimize their FX Exposures via Close-out Netting their Interbank Lending and Derivative Deals
• Publisher: VDM Verlag
• Publication Date: 2008
• Language: English
• ISBN 10: 3639095715
• ISBN 13: 9783639095715
• Binding: Soft cover
• Condition: Hervorragend
• Seller catalogs:
  • Bücher

About this title

Synopsis

The stochastic volatility of daily foreign exchange (FX) derivatives poses a number of risks for the international banking community. Settlement risk, liquidity risk and capital adequacy are just a few immediate concerns that arise from such volatility. This book examines the impact of close-out netting on minimising the stochastic volatility of inter-bank FX derivatives. The problem with close-out netting is that although it is a simple formula of taking the differences between two banks at one point in time, it is the stochastic and volatile nature of FX rates that makes measuring the full impact of netting difficult. Through Monte Carlo simulation of the resulting fitted GARCH models, we generate the distributions -with and without close-out netting. The findings of this book are interesting, showing that close-out netting is far more than just a simple mathematical process. Netting surely does reduce each bankâ¿¿s exposure to FX volatility, however, its multivariate nature reveals some important results for banking risk research and indeed many financial analysts.

About the Author

A trained Risk Manager, Mathematician, Financial Modeller, Quant, Data Warehouse Architect and Analyst/Programmer, Aldo brings a wealth of business and technical expertise to any organisation he consults with. Aldo is the CEO of Credience (www.credience.com), which develops financial risk analytics software, training & consulting.