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

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Date
2016
Author
Glau, Kathrin
Grbac, Zorana
Scherer, Matthias
Zagst, Rudi
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Abstract
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.
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http://creativecommons.org/licenses/by/4.0/
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http://hdl.handle.net/20.500.12010/15999
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Carrera 4 # 22-61 Teléfono: (+57 1) 242 7030 - 018000111022 Fax: (+57 1) 561 2107 Bogotá D.C., Colombia

Fundación Universitaria de Bogotá Jorge Tadeo Lozano | Vigilada Mineducación

Institución de educación superior privada, de utilidad común, sin ánimo de lucro y su carácter académico es el de Universidad.

Reconocimiento personería jurídica: Resolución 2613 del 14 de agosto de 1959 Minjusticia.

Institución de Educación Superior sujeta a inspección y vigilancia por el Ministerio de Educación Nacional.

 

Términos y condiciones | Políticas