Portfolio Compression explains concepts in the risk management framework that are fundamental when approaching compressions. The book covers credit risk concepts, and shows how in OTC and in cleared transactions, trading risks migrate between market, credit, treasury and operations.
Portfolio Compression explains how to enter into compressions with other participants, how to analyse a portfolio of transactions to find compression opportunities and how to comply with EMIR.
- Bilateral and multilateral compressions;
- Analysing the portfolio for compression purposes;
- How to reduce collateral requirements;
- How to recognise fundamental credit, treasury and other enterprise risk framework implications;
- How to identify legal, systems, market risk, back office, finance and other tasks required to execute compressions; and
- The six steps in a bilateral and multilateral compression task, this includes a tick list useful for project management purposes.
- Book - 9781782722137 / eBook - 9781782722311
- Publish date
- 31 Mar 2015
- 155mm x 235mm
Find out more about Portfolio Compressions with the author in this video introduction
Table of contents
Chapter 1: From the Financial Crisis to Portfolio Compression
Chapter 2: Portfolio Compression in the Derivatives Markets
Chapter 3: Risk Mitigation Techniques under EMIR
Chapter 4: Credit Risk in Energy Trading
Chapter 5: Understanding and Analysing Compressions
Chapter 6: How to Run a Portfolio Compression Cycle
Chapter 7: The Role of Clearing, Compressing Financial Derivatives and Emerging Post-Trade Risk Management Solutions
"This book is an excellent introduction into portfolio compression, the motivation behind it and the numerous complexities around the process.
It has a large number of examples to explain the details and enough breadth to explain the whole process end-to-end. It would be a valuable resource for any team looking to participate in a compression cycle; particularly so in firms where a full time team dedicated to compression is not warranted. This book captures a lot of practical, hands-on information that is useful for putting in place a new process or getting team members up to speed quickly."
Colin Edwards, ERP
Senior Quantitative Developer, TrailStone UK Limited
"This is a must-read book written for credit risk practitioners as well as anyone involved in implementing portfolio compression processes in their organizations. Diana Higgins covers a complex topic in simple language with multiple practical examples that are comprehensive and easy to follow. I highly recommend this book for professionals interested in learning about portfolio compressions and improving their knowledge about the interactions between market, credit, liquidity and regulatory risk in energy trading."
Carlos Blanco, Ph.D.
Faculty, The Oxford Princeton Programme, and Managing Director, Black Swan Risk Advisors
"Portfolio compression can be an excellent tool to manage both credit risk and liquidity risk, and is not only a regulatory burden. While discussing the first principles this book provides also a detailed hands-on guideline to successfully complete portfolio compressions."
Dr Michael Jost
Head of Credit Risk Control, RWE Supply & Trading GmbH