Author name: FinanceGeek

Introduction Over the last seven articles in this series, we have built up the exposure calculation from the ground up: […]

Introduction The commodity asset class covers derivative contracts referencing energy products, metals, agricultural products, and other physical commodities. This is

Introduction The credit derivative asset class covers single-name credit default swaps, index CDS, and total return swaps referencing debt instruments.

Introduction The equity asset class covers single stock derivatives, equity index derivatives, equity options, and equity total return swaps. Structurally,

Introduction The exchange rate asset class covers FX forwards, FX swaps, cross-currency swaps, and FX options. Compared to the interest

Introduction The interest rate asset class is, in almost every derivatives portfolio, the largest single contributor to a bank’s PFE

Introduction Replacement cost is the first of two building blocks inside the SA-CCR exposure calculation. In the SA-CCR formula —

What is Counterparty Credit Risk? What is counterparty credit risk — and why do the world’s biggest banks spend billions