The xVA Challenge: Counterparty Credit Risk, Funding. Counterparty credit risk has become the key element of financial risk management, Dr Jon Gregory is a consultant specialising in the area of counterparty risk. Please note that this second edition of Counterparty Credit Risk and Credit Value Jon Gregory is an experienced practitioner in the area of financial risk.
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Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
Quantitative Value Wesley R. No trivia or quizzes yet. D Specific approximations to the CVA formula for individual instruments. Since the collapse of Lehman Brothe A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: From tohe worked for BNP Paribas, initially developing the framework for the pricing and management of counterparty risk for the fixed income division and later being part of the rapid growth of the credit derivatives business.
Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements.
Marc added it Dec 04, Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. C Mathematical treatment of a collateralised exposure.
There are many practical examples, including experiences from the recent credit crisis. The management of counterparty risk within an institution is also discussed in detail. Mattias Back rated it really liked it Nov 01, Description A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution.
D Definition of effective EPE. Rowe, President, David M. Cao Mai marked it as to-read Aug 16, Published October 15th by Wiley first published September 7th Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
About the Author Dr Jon Gregory is a consultant specialising in the area of counterparty risk.
It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. Jian Wang rated it it was amazing Feb 26, Aditya marked it as to-read Oct 29, In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk.
Looking for beautiful books? Quantifying Credit Exposure 9. Like them, it is a must—buy for anyone involved with derivatives markets. Montserrat marked it as to-read Feb 19, Toryn Green added it Oct 21, It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.
Debt Value Adjustment A EE of independent normal variables.
The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management margining.
The second edition has been completely re-written to cover the recent extensive changes in theory, market practice and regulation and the new topics of risk-free valuation, funding considerations and Basel III capital requirements. Visit our Beautiful Books page and find lovely books for kids, photography lovers and more.
Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to online appendices that will be needed only by those with strong mathematical interest. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. The Impact of Collateral. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.
A Credit portfolio model.
Counterparty Credit Risk: The new challenge for global financial markets
You are currently using the site but have requested a page in the site. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. Iljaas rated it really liked it Apr 26, Credit Value Adjustment About the Author Jon Gregory is an experienced practitioner in the area of financial risk management. Rob Kaczmarek rated it really liked it Dec 25, Power added it Jul 29, As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk.
Peir Shenq Stanley Lim. The sudden realisation of mon counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy.
The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators. All end—users rsik OTC derivatives are affected by these changes. He was a co-author of the book Credit: Stay ahead with the world’s most comprehensive technology and business learning platform.