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Palgrave Macmillan

Credit Risk Management for Derivatives

Post-Crisis Metrics for End-Users

  • Book
  • © 2017

Overview

Authors:
  1. Ivan Zelenko

    1. Director, Market and Counterparty Risk, The World Bank, Washington, USA

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  • 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

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xvii
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  2. Reshaping Derivatives Markets: The Post-2008 Ambition

    • Ivan Zelenko
    Pages 1-23

  3. Outlining Counterparty Credit Risk Exposure

    • Ivan Zelenko
    Pages 25-55

  4. Restating the Role of Collateral

    • Ivan Zelenko
    Pages 57-94

  5. Adjusting for Credit and Debt Value: CVA and DVA

    • Ivan Zelenko
    Pages 95-139

  6. Expanding Valuation Metrics: FVA and KVA

    • Ivan Zelenko
    Pages 141-153

  7. Back Matter

    Pages 155-165
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Keywords

About this book

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.

Authors and Affiliations

  • Director, Market and Counterparty Risk, The World Bank, Washington, USA

    Ivan Zelenko

About the author

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.

Bibliographic Information

  • Book Title: Credit Risk Management for Derivatives

  • Book Subtitle: Post-Crisis Metrics for End-Users

  • Authors: Ivan Zelenko

  • DOI: https://doi.org/10.1007/978-3-319-57975-7

  • Publisher: Palgrave Macmillan Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s) 2017

  • Hardcover ISBN: 978-3-319-57974-0Published: 28 July 2017

  • eBook ISBN: 978-3-319-57975-7Published: 20 July 2017

  • Edition Number: 1

  • Number of Pages: XVII, 165

  • Number of Illustrations: 41 b/w illustrations

  • Topics: Risk Management, Banking, Macroeconomics/Monetary Economics//Financial Economics

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