Modelling The Nature Of Close-Out Netting On Bank Portfolios

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Overview

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,...

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Overview

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 bank's exposure to FX volatility, however, its multivariate nature reveals some important results for banking risk research and indeed many financial analysts.

Product Details

  • ISBN-13: 9783639095715
  • Publisher: VDM Verlag Dr. Mueller e.K.
  • Publication date: 10/29/2008
  • Pages: 152
  • Product dimensions: 6.00 (w) x 9.00 (h) x 0.33 (d)

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