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activities allocation amount applicable approach assessment banks bid-offer spread calculated capital requirements cash ﬂows changes collateral correlation cost counterparty credit derivatives credit enhancement credit risk Credit Support currency currency swap dealer deﬁned deﬁnition derivative credit exposure derivative transactions difﬁcult documentation Early Termination ensure entails entity equity estimate Event of Default example Exhibit failure fair value Financial ﬁnancial institutions ﬁrm ﬁrst ﬁxed framework funding futures contract hedged item hedging instrument identiﬁed impact income intemal interest rate swap investment ISDA issues liabilities liquidity risk loss LTCM mark-to-market market risk Master Agreement maturity model risk Ofﬁce operational risk option party payment portfolio positions proﬁt RAPM reﬂects relevant retum risk factors risk limits risk measurement risk weight Satyajit securities signiﬁcant simulation Singapore at Chapter Sons Asia speciﬁed stress testing structure Termination Event trading underlying valuation Value at Risk volatility