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Credit Risk Management for Derivatives - Post-Crisis Metrics for End-Users (Hardcover, 1st ed. 2017)
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Credit Risk Management for Derivatives - Post-Crisis Metrics for End-Users (Hardcover, 1st ed. 2017)
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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.
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