Credit Risk Management for Derivatives: Post-Crisis Metrics for End-Users
Autor Ivan Zelenkoen Limba Engleză Hardback – 28 iul 2017
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Specificații
ISBN-13: 9783319579740
ISBN-10: 3319579746
Pagini: 165
Ilustrații: XVII, 165 p. 41 illus.
Dimensiuni: 148 x 210 mm
Greutate: 0.37 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Palgrave Macmillan
Locul publicării:Cham, Switzerland
ISBN-10: 3319579746
Pagini: 165
Ilustrații: XVII, 165 p. 41 illus.
Dimensiuni: 148 x 210 mm
Greutate: 0.37 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Palgrave Macmillan
Locul publicării:Cham, Switzerland
Cuprins
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.
Notă biografică
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.
Textul de pe ultima copertă
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.
Caracteristici
Brings peer-to-peer practical experience from the World Bank Offers a practical and rigorous approach including organization and processes Clearly and succinctly analyzes the changing landscape in derivatives markets Includes supplementary material: sn.pub/extras Includes supplementary material: sn.pub/extras