8 Result(s)
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Chapter
Introduction
The 2008 financial crisis, triggered by the Lehman Brothers default, has led to profound changes in derivatives trading and valuations. These changes are partly driven by the banks in realizing the need to tre...
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Chapter
Legal Aspects and Operations of Derivatives Trading
An OTC derivative transaction is a legal contract between two trading counterparties. In order for a derivative transaction to be executed, both parties have to agree on all the legal terms. The contract would...
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Chapter
Overview of Derivatives Trading
Financial derivatives are widely used in economic activities by a variety of market participants for the purposes of hedging, investment and speculations, among other things. A derivative is a legal contract a...
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Chapter
CVA Primer and Credit Default
The “risk-free” rate is at the heart of derivative valuations in the form of discounting of future cash flows or evaluating investment returns. In the following we discuss the so-called “risk-free” rate, OIS a...
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Chapter
Other Valuation Adjustments
Embedded within the funding management, every firm also has its liquidity management. Liquidity management serves two purposes. First of all, the firm has to ensure it has enough liquid assets to cover its ope...
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Chapter
CVA and FVA Risk Management
CVA and FVA for derivative transactions are complex in that they can be driven by many different market risk factors in addition to the credit risk factors. Before discussing the risk management of CVA and FVA...
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Chapter
FVA Primer: Derivatives Pricing with Funding
Borrowing and lending activities are very common in normal business dealings. A business’ operation inevitably will involve borrowing: in managing its daily activities, such as purchasing raw materials and equ...
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Chapter
CVA and FVA Modeling and Implementation
CVA/FVA modeling is complex, mainly because:
The potential credit/funding exposures are generally non-linear. For a linear fixed-for-floating interest rate swap, one may va...
