Market conditions that impact derivative values move every day, and the bank is both posting and receiving collateral through margin calls. Under stressed market conditions those moves can be much lar
The credit support annex (CSA) can carry terms set against the external credit rating of the bank, and those terms are the downgrade triggers. They require the bank to post more collateral, or to pay
The previous notebook looked at the case where the bank receives variation margin (VM) on the derivative trades. The credit support annex (CSA) requires the exchange of VM in both directions, and the
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