Credit Risk Management for Derivatives

Post-Crisis Metrics for End-Users

  • Ivan┬áZelenko

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Ivan Zelenko
    Pages 57-94
  3. Ivan Zelenko
    Pages 141-153
  4. Back Matter
    Pages 155-165

About this book

Introduction

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.

Keywords

KVA XVA central clearing accounting drivers credit valuation adjustment debt valuation adjustment over-the-counter derivatives funding valuation adjustment capital valuation adjustment potential future exposure overnight index swap central counterparty counterparty credit risk

Authors and affiliations

  • Ivan┬áZelenko
    • 1
  1. 1.Director, Market and Counterparty RiskThe World BankWashingtonUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-57975-7
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2017
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-57974-0
  • Online ISBN 978-3-319-57975-7
  • About this book