Exchange Ideas

Perspectives on Integrated Risk Management

Discussions and points of views on the integration of risk quantification metrics, monitoring and reporting across the enterprise covering such topics such as macro-economic stress testing, solo capital, liquidity risk, living wills and the impact of proposed new regulations.

 

November 10, 2010

Securities Financing Transactions

Securities financing transactions such as repurchase and reverse repurchase agreements can experience loss in valuation not only from the adverse movement in market risk factors but also from the deterioration of the credit quality of the counterpart to the deal.

The performance of these financing transactions in the recent market crisis has demonstrated that the working assumption that these sources of risk are addressed through the active management of posted collateral is unfounded. Better risk quantification techniques are required to capture these risks and well as the incorporation of stress testing in the risk management framework and the constraints imposed by a clear statement of risk appetite.

Posted by rppersaud at 06:39 PM | Comments (0)