Advertisement

The Credit Risk Management of Derivative Portfolios: Quantitative Issues

  • Erik Banks
Part of the Finance and Capital Markets series book series (FCMS)

Abstract

The ongoing management of derivative credit exposures represents an integral component of the risk control framework; once an institution identifies and quantifies its credit risk exposures it needs to ensure they are actively and appropriately managed. While risk identification and measurement, which we have discussed at length in Parts II and III, are critical elements of the entire process, it is the continuous risk management of credit exposures which permits a financial institution to control its derivatives business most effectively, and accurately, on an ongoing basis.

Keywords

Credit Risk Credit Rating Potential Exposure Default Probability Default Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Erik Banks 1997

Authors and Affiliations

  • Erik Banks

There are no affiliations available

Personalised recommendations