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Digging deep into derivatives: trying to make life easier – techniques for measuring derivative credit exposure

Digging deep into derivatives: trying to make life easier – techniques for measuring derivative... The widespread use of derivatives in asset and liability management raises the issue of appropriate measurement of credit exposure. However, nearly all industry literature focuses on the needs of the most sophisticated dealers, which presents a problem for those users who want to improve the measurement of derivative credit exposure, but are unable to commercially justify the expense of cutting edge techniques. This article attempts to fill this gap by examining the range of pragmatic approaches available, together with their key pros and cons. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Balance Sheet Emerald Publishing

Digging deep into derivatives: trying to make life easier – techniques for measuring derivative credit exposure

Balance Sheet , Volume 11 (3): 11 – Sep 1, 2003

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Publisher
Emerald Publishing
Copyright
Copyright © 2003 MCB UP Ltd. All rights reserved.
ISSN
0965-7967
DOI
10.1108/09657960310491145
Publisher site
See Article on Publisher Site

Abstract

The widespread use of derivatives in asset and liability management raises the issue of appropriate measurement of credit exposure. However, nearly all industry literature focuses on the needs of the most sophisticated dealers, which presents a problem for those users who want to improve the measurement of derivative credit exposure, but are unable to commercially justify the expense of cutting edge techniques. This article attempts to fill this gap by examining the range of pragmatic approaches available, together with their key pros and cons.

Journal

Balance SheetEmerald Publishing

Published: Sep 1, 2003

Keywords: Credit; Risk assessment; Assets management

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