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Portfolio Compression: Techniques to Manage EMIR and Other Regulatory and Trading Risks
Portfolio Compression explains concepts in the risk management framework that are fundamental when approaching compressions. The book covers credit risk concepts, and shows how in OTC and in cleared transactions, trading risks migrate between market, credit, treasury and operations. Portfolio Compression explains how to enter into compressions with other participants, how to analyse a portfolio of transactions to find compression opportunities and how to comply with EMIR.