Читать книгу XVA - Green Andrew - Страница 11

The bid-offer spread quoted by trading desks has always been included in prices and reflects the trading desk cost of managing the trade. This is normally considered to include the cost of hedging the market risk on the trade at inception and any future re-hedging costs due to market movements and embedded nonlinear risk. There are however other elements that should be considered:

• Staff costs are a very significant fraction of the cost base of any bank. This includes trading and sales staff with primary responsibility for managing market risk and interacting with the customer. However, there are many other support functions involved including quantitative analysts, finance professionals and business controllers, risk managers, audit and operations staff.

• Legal and other professional fees are also a cost. Over-the-counter (OTC) derivatives are traded under the legal framework provided by ISDA (1992; 2002), which requires set-up and maintenance costs. Some transactions require external ratings, which means engagement with rating agencies and the payment of fees.

• IT and other infrastructure costs are also a significant part of the cost base of a bank. This covers everything from buildings, lighting and air conditioning through to the cost of IT system development, maintenance and hardware. For complex derivative products, even the cost of running the valuation and risk on a daily basis can be expensive due to hardware and the energy required to both power and cool it. Of course it is not just trading systems themselves, there are huge numbers of other risk systems for CVA, PFE, VaR etc that also consume resources.