Solvent Wind-Down

Alessandro Santoni and Federico Salerno
Additional contact information
Alessandro Santoni: European Central Bank
Federico Salerno: European Central Bank

A chapter in How to Value a Bank, 2023, pp 95-113 from Springer

Abstract: Abstract In this chapter, we focus on some of the valuation and operational aspects of winding down a bank’s trading book portfolio and the potential hidden exit costs. It provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when designing a solvent wind-down plan. It also provides the reader with an overview of key underpinning valuation or pricing concepts (i.e. “Fair value”, “realisable value”, and “Solvent Wind Down value”). Ultimately it shows that the cost to wind down a trading portfolio beyond the usual accounting carrying value might be mostly driven by wind-down operating costs (incl. Liquidity and funding costs) and two main pricing components, namely the Capital Valuation Adjustment and Margining Valuation Adjustment.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-43872-1_9

Ordering information: This item can be ordered from
http://www.springer.com/9783031438721

DOI: 10.1007/978-3-031-43872-1_9

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().