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- 2011-7-2
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- 2015-7-31
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having worked in collateral management for OTC derivatives, I can say from practice that you take collateral (i.e. not "margin" but the actual exposure of your derivatives portfolio with the other bank or HF) ONLY TO BE ABLE TO INCREASE YOUR EXPOSURE WITH THE COUNTERPARTY
even though we took cash or AAA rated sec from them, at a certain point there was a risk limit.
Thus, as a margin is not even close to getting your daily exposure t-2 (after settlement) in Cash USD or EUR, C) is in fact the best answer even and especially from a practical point of view |
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发表于 2011-7-13 13:58
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