Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation

The financial crisis of 2007–2009 swallowed billions of dollars and caused many corporate defaults. Massive monetary intervention by the US and European central bank stabilized the global financial system, but the long-term consequences of this low interest rate/high government debt policy remain unclear. To avoid such crises scenarios in the future, better regulation was called for by many politicians. The market for portfolio credit derivatives has almost dried out in the aftermath of the crisis and has only recently recovered. Banks are not considered default free anymore, their CDS spreads can tell the story. This has major consequences for OTC derivative transactions between banks and their clients, since the risk of a counterparty credit default cannot be neglected anymore. Concerning interest rates, it has become unclear if there are risk-free rates at all, and if so, how these should be modeled. On top, we have observed negative interest rates for government bonds of countries like Switzerland, Germany, and the US—a feature not captured by many stochastic models. The conference Innovations in Derivatives Markets—Fixed income modeling, valuation adjustments, risk management, and regulation, March 30–April 1, 2015 at the Technical University of Munich shed some light on the tremendous changes in the financial system. We gratefully acknowledge the support by the KPMG Center of Excellence in Risk Management, which allowed us to bring together leading experts from fixed income markets, credit modeling, banking, and financial engineering. We thank the contributing authors to this volume for presenting the state of the art in postcrisis financial modeling and computational tools. Their contributions reflect the enormous efforts academia and the financial industry have invested in adapting to a new reality.

• Tipo de recurso: Book
• Fecha de publicación: 2016
• Institución: Universidad de Bogotá Jorge Tadeo Lozano
• Repositorio: Expeditio: repositorio UTadeo
• Idioma: eng
• OAI Identifier: oai:expeditiorepositorio.utadeo.edu.co:20.500.12010/15999
• Acceso en línea: http://hdl.handle.net/20.500.12010/15999
• Palabra clave: Innovations in derivatives markets; Fixed income modeling; Economía; Futuros financieros; Investigación de mercados
• License: Abierto (Texto Completo)