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
In derivative transactions the credit support annex (CSA) sets the terms of the collateral, and it can give the counterparty the right to substitute the collateral it has posted without the consent of
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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