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相关帖子	版块	作者	回复/查看	最后发表

[下载]soa FM 教材 derivatives markets	金融类	justin1989 2009-6-11	58 17874	melodyzhang620 2014-8-7 14:22:00
[求助]急求Kupiec,Paul H.Techniques for verifying the accuracy of risk measurement mo	计量经济学与统计软件	rickdufe 2007-7-14	11 6890	sunflower870206 2014-6-28 22:47:28
[分享]options,futures and other derivatives第七版，国际版英文课件	金融工程（数量金融）与金融衍生品	tenton 2009-5-17	118 21280	twstudent 2014-3-6 19:52:41
Credit Derivatives--Risk Management, Trading and Investing	金融学（理论版）	achille77fr 2007-12-14	3 3674	chunxu 2012-1-4 05:22:21
[下载]06新书《衍生市场》(2nd Edition) （Derivatives Markets ）	金融学（理论版）	dannin 2007-11-9	0 10245	dannin 2011-12-30 05:21:24
[求助]Options futures and other derivatives的第七版电子书现在有了么？	文献求助专区	hoopmat 2008-8-18	15 8331	ke9c 2011-5-17 09:30:47
Hull: Options,futures,and other derivatives 英文第六版 + 答案(FREE)	CFA、CVA、FRM等金融考证论坛	skydoom 2009-2-1	24 7560	axian001 2010-11-4 16:04:24
20个论坛币求Testbank for Fundamentals of Derivatives Markets - [悬赏 1 个论坛币]	金融学（理论版）	ch6331 2010-9-28	5 2205	ch6331 2010-10-2 22:00:16
[下载]Credit Derivatives Instruments Applications and Pricing	金融工程（数量金融）与金融衍生品	andy520 2009-6-3	5 4265	lipchen 2010-7-23 14:34:19
Mathematical Models of Financial Derivatives by Kwok	金融学（理论版）	tigersen 2009-6-10	0 3060	tigersen 2009-6-10 14:55:00
Options, Futures, and Other Derivatives, Seventh Edition	金融学（理论版）	fly_tercel 2009-5-10	0 2406	fly_tercel 2009-5-10 11:07:00
Swaps and Other Derivatives	金融学（理论版）	suojuanshi 2009-5-7	2 3536	onetwothreehaha 2009-5-9 00:37:00
[求助]Modeling Derivatives Applications in Matlab, C , and Excel	文献求助专区	phoenix01a 2008-6-22	8 6091	zgryyl 2009-5-1 09:44:25
7th edition of Options，Futures，and Other Derivatives	金融学（理论版）	freedomjames 2009-4-4	2 3399	cfa2go 2009-4-5 05:25:00
[下载]options, futures and other derivatives (6th edition)	金融学（理论版）	flake2005 2009-2-16	0 2285	flake2005 2009-2-16 23:47:00
Derivatives, An Introduction.课件详解	金融学（理论版）	sca9772 2008-9-14	0 3855	sca9772 2008-9-14 20:52:00
Options,futures,and other derivatives（6th)	金融学（理论版）	superidiot 2008-7-8	5 2195	liukunustb 2008-7-9 00:32:00
[下载]Djvu高清版Options,.Futures,.And.Other.Derivatives	金融学（理论版）	goby 2008-5-30	1 3291	wesker1999 2008-5-30 12:23:00
Options futures and other derivatives_6th.pdf 下载	金融学（理论版）	aksun 2008-4-17	2 3105	zqyong619 2008-4-17 09:30:00
[转帖]A Brief History of Derivatives	金融学（理论版）	yuchang 2006-12-2	0 3552	yuchang 2006-12-2 07:31:00

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相关日志

分享 1000x Systemic Leverage: $600 Trillion In Gross Derivatives "Backed" B: insight 2012-12-25 16:53; 1000x Systemic Leverage: $600 Trillion In Gross Derivatives "Backed" By $600 Billion In Collateral Submitted by Tyler Durden on 12/24/2012 09:07 -0500 AIG American International Group Counterparties Federal Reserve Gross Domestic Product International Monetary Fund Layering Lehman notional value OTC OTC Derivatives Shadow Banking Sovereigns There is much debate whether when it comes to the total notional size of outstanding derivatives, it is the gross notional that matters (roughly $600 trillion), or the amount which takes out biletaral netting and other offsetting positions (much lower). We explained previously how gross is irrelevant... until it is, i.e. until there is a breach in the counterparty chain and suddenly all net becomes gross (as in the case of the Lehman bankruptcy), such as during a financial crisis, i.e., the only time when gross derivative exposure becomes material (er, by definition). But a bigger question is what is the actual collateral backing this gargantuan market which is about 10 times greater than the world's combined GDP, because as the "derivative" name implies all this exposure is backed on some dedicated, real assets, somewhere. Luckily, the IMF recently released a discussion note titled " Shadow Banking: Economics and Policy " where quietly hidden in one of the appendices it answers precisely this critical question. The bottom line: $600 trillion in gross notional derivatives backed by a tiny $600 billion in real assets : a whopping 0.1% margin requirement ! Surely nothing can possibly go wrong with this amount of unprecedented 1000x systemic leverage. From the IMF: Over-the-counter (OTC) derivatives markets straddle regulated systemically important financial institutions and the shadow banking world . Recent regulatory efforts focus on moving OTC derivatives contracts to central counterparties (CCPs). A CCP will be collecting collateral and netting bilateral positions. While CCPs do not have explicit taxpayer backing, they may be supported in times of stress. For example, the U.S. Dodd-Frank Act allows the Federal Reserve to lend to key financial market infrastructures during times of crises. Incentives to move OTC contracts could come from increasing bank capital charges on OTC positions that are not moved to CCP (BCBS, 2012). The notional value of OTC contracts is about $600 trillion, but while much cited, that number overstates the still very sizable risks . A better estimate may be based on adding “in-the-money” (or gross positive value) and “out-of-the money” (or gross negative value) derivative positions (to obtain total exposures), further reduced by the “netting” of related positions. Once these are taken into account, the resulting exposures are currently about $3 trillion, down from $5 trillion (see table below; see also BIS, 2012, and Singh, 2010). Another important metric is the under-collateralization of the OTC market . The Bank for International Settlements estimates that the volume of collateral supporting the OTC market is about $1.8 trillion, thus roughly only half of exposures. Assuming a collateral reuse rate between 2.5-3.0, the dedicated collateral is some $600 - $700 billion . Some counterparties (e.g., sovereigns, quasi-sovereigns, large pension funds and insurers, and AAA corporations) are often not required to post collateral . The remaining exposures will have to be collateralized when moved to CCP to avoid creating puts to the safety net. As such, there is likely to an increased demand for collateral worldwide. And there it is: a world in which increasingly more sovereigns are insolvent, it is precisely these sovereigns (and other "AAA-rated" institutions) who are assumed to be so safe, they don't have to post any collateral to the virtually unlimited derivatives they are allowed to create out of thin air. Is it any wonder why, then, in a world in which even the IMF says there is an increased demand for collateral, that banks are making a total mockery out of such preemptive attempts to safeguard the system, such as the Basel III proposal, whose deleveraging policies have been delayed from 2013 to 2014, and which will be delayed again and again, until, hopefully, everyone forgets all about them, and no financial crises ever again occur. Because if and when they do, the entire world, which has now become one defacto AIG Financial Products subsidiary, and is spewing derivatives left and right, may have to scramble just a bit to procure some of this $599 trillion in actual collateral, once collateral chains start breaking, once "AAA-rated" counterparties (such as AIG had been days before its bailout) start falling, and once the question arises: just what is the true value of hard assets in a world in which the only value created by financial innovation is layering of derivatives upon derivatives, serving merely to prod banker bonuses to all time highs. Average: 5 Your rating: None Average: 5 ( 21 votes); 8 次阅读|0 个评论