Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks - Risk Books
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Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks

By Diana Higgins

Overview

Portfolio Compression is a one-stop guide for compressions, applicable to all derivatives, with a particular focus on energy trading products. This book provides a step-by-step, pragmatic description of this technique that reduces the transactions in a portfolio, while taking care that profits and risk remain the same or within acceptable differences. Compressions are not only a requirement under EMIR and Dodd Frank, but have also been used by trading companies to reduce cost of capital, regulatory, operational, credit and collateral risk.

Author Diana Higgins shares her 16 years of experience in commodity trading managing credit risk on gas, electricity, oil, metals and emissions. She takes you through the concepts, analysis, procedures and essential rules involved in a compression task, and uses examples and check lists to help decision makers and executors in their journey.


Find out more about Portfolio Compression with the author in this video introduction




Publish date: 31 Mar 2015

Availability: In stock

Product Unit Price Qty
Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks
£85.00
eBook - Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks
EPUB
£64.00
OR

Book description

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.

Chapters cover:

  • 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 details

ISBN
Book - 9781782722137 / eBook - 9781782722311
Publish date
31 Mar 2015
Format
Paperback
Size
155mm x 235mm

Book presentations

Find out more about Portfolio Compressions with the author in this video introduction

Author biography

Diana Higgins

Diana Higgins has over the last 16 years built her credit risk expertise by developing and transforming credit departments in energy trading companies. Throughout her career Diana has led and been involved in portfolio compression due to imminent defaults, for risk management purposes and in the later years because of regulatory reasons. 

Diana started her career in commodities with Glencore’s structure and trade finance oil team. At Enron she was the credit manager for the physical metals division where she managed and merged the credit portfolio with Metallgesellschaft. She was the head of credit for Wiliams Europe and Centrica Energy where she started the credit department covering gas, power, coal and emissions wholesale trading. She has written and reviewed several credit policies and transformed credit operations for major energy trading companies. She is now the European credit manager at Trailstone. 

Diana shares her expertise by training professionals in the credit field. She has been delegate to various working groups in the European Federation of Energy Traders (EFET), co-author of the EFET Credit Training Manual, speaker at risk events and has been featured in the Energy Risk magazine. She writes articles on risk topics for The OTC Space and Crediten.

Diana is a civil engineer from Universidad de los Andes, Bogotá, Colombia, and an MBA from Edinburgh University. She is the founder and chairs the Uniandes Alumni network in the United Kingdom and has mentored dissertations for post graduate students at Edinburgh University. Diana lives in London with her husband and daughter.

Table of contents

Introduction

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

Testimonials

"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

Customer Reviews

Average customer reviews for Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks

This book is an excellent introduction into portfolio compression

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 quickly up to speed.
Review by Colin , 22/07/2015

Read more reviews

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