Autor: Ivan Zelenko
ISBN-13: 9783319579740
Einband: Book
Seiten: 165
Gewicht: 374 g
Format: 218x151x20 mm
Sprache: Englisch

Credit Risk Management for Derivatives

Post-Crisis Metrics for End-Users
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Brings peer-to-peer practical experience from the World Bank
1. Reshaping Derivatives Markets: The Post-2008 Ambition 2. Outlining Counterparty Credit Risk Exposure 3. Restating the Role of Collateral 4. Adjusting for Credit and Debt Value: CVA and DVA 5. Expanding Valuation Metrics: FVA and KVA
This Palgrave Pivot assesses the impact of the regulatory framework for derivatives built post-crisis and examines its ambition to centralize and minimize credit risk, enhance transparency, and regain control. Zelenko delves into the powerful destabilizing forces exerted by derivatives markets in the global financial meltdown of 2008. Recapping the evolution in markets and counterparty risk management, as well as key aspects of regulation and their impact, this book aims to give readers the big picture and foster a deep understanding of the role of derivatives markets in the financial crisis. This practical angle will give useful keys to end-users and their risk managers, as they are faced with a new, complex, and changing environment. Additionally, this book conducts a comprehensive analysis of the new metrics the market has created to model, price, and manage credit risk, such as the Credit Value Adjustment (CVA), the Debt Value Adjustment (DVA), or the Funding Value Adjustment (FVA), and takes full stock of a domain that is still in rapid evolution. This volume covers the concepts, methods, and approaches taken by banks to manage counterparty credit risk in their derivatives activities in the new post-crisis market and regulatory environment, and it aims to highlight what is practical and effective today.
Autor: Ivan Zelenko
Ivan Zelenko is Director of the Market and Counterparty Risk division of The World Bank, and he was previously Head of Derivatives and Structured Finance. He has published several books and articles on risk and capital markets.

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Autor: Ivan Zelenko
ISBN-13 :: 9783319579740
ISBN: 3319579746
Erscheinungsjahr: 01.08.2017
Verlag: Springer-Verlag GmbH
Gewicht: 374g
Seiten: 165
Sprache: Englisch
Sonstiges: Buch, 218x151x20 mm, 46 schwarz-weiße Abbildungen, Bibliographie