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# 数学代写|风险管理代写Risk Management代考|FINA5520 Netting of Derivatives Positions

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## 数学代写|风险管理代写Risk Management代考|Netting of Derivatives Positions

In 1995 the initial BIS agreement was modified to allow banks to reduce their “credit equivalent” totals provided that bilateral netting agreements are in place. According to some surveys, netting reduces the gross replacement value of a bank’s credit exposure by, on average, half.
The BIS formula for add-on amounts became:
Add-on amount $=$ notional * add-on factor * $(40 \%+60 \% * \mathrm{NPR})$
The add-on factors are the same as in Table 2.5. NPR denotes the net replacement ratio, which is the net replacement cost when positive, or zero otherwise, divided by the gross replacement cost calculated as before, without taking into account netting, i.e., the sum of the positive replacement cost for the transactions covered by the netting agreement.

Note that the new BIS formula does not allow for complete off-setting even if netting agreements are in place. It is tempting to believe that the rationale favoring a minimum add-on amount stems from the legal risk that courts might find netting agreements unenforceable in certain jurisdictions or, if the netting agreements are upheld, that delays in reaching a settlement might negate the benefits of netting. However, this reasoning is not valid. Leading global financial institutions negotiated with the BIS, arguing that mature portfolios exhibit stable ratios of net to gross mark-to-market values. It was argued that 100 percent of this ratio should be allowed. The BIS did not agree that the ratio is stable in the long run and therefore imposed the 40 percent minimum add-on. In effect, the formula discounts the probable benefits of netting.
These calculations are performed by the counterparty, and then the counterparty risk weight is used to derive the risk-weighted amount. Table $2.6$ illustrates the calculations using a simple example.

## 数学代写|风险管理代写Risk Management代考|Capital and the Cooke Ratio

Banks are required to maintain a capital amount equal to at least 8 percent of their total risk-weighted assets (as calculated in the previous section). Capital, as defined by the Cooke ratio, is broader than equity capital. It has three components:

1. Tier 1, or core capital, which includes common stockholder’s equity, noncumulative perpetual preferred stock, and minority equity interests in consolidated subsidiaries, less goodwill and other deductions.
2. Tier 2, or supplementary capital, which includes hybrid capital instruments, such as cumulative perpetual preferred shares and qualifying 99 -year debentures. These instruments are essentially permanent in nature and have some of the characteristics of both equity and debt. Tier 2 capital also includes instruments with more limited lives, such as subordinated debt with an original average maturity of at least five years.

# 风险管理代写

## 数学代写|风险管理代写风险管理代考|衍生品头寸净额

1995年，国际清算银行对最初的协议进行了修改，允许银行减少其“信贷等价物”总额，条件是签订了双边净额协定。根据一些调查，抵扣平均会使银行信贷敞口的总替代价值减少一半。
BIS附加金额公式为:

## 数学代写|风险管理代写风险管理代考|资本和库克比率

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## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。