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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A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner.
Jon has published a number of papers and articles on risk management, credit derivatives and quantitative finance and is a regular speaker at international conferences. Congratulations Jon on another excellent book. Rotman School of Management, University of Toronto “”Utmost important topic covered by one of counterpzrty best experts in the field.
B Pricing formulas for CDSs and risky bonds. His book should be required reading for risk managers, grefory banking executives, regulators, policy makers and scholars concerned about counterparty risk.
Imanuvel marked it as to-read Apr 12, The sudden realisation of extensive counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy. Debt Value Adjustment A Credit portfolio model. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators.
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.
E Double-default treatment of hedged exposures in Basel II. Saeed rated it liked it Dec 26, Damodaran on Valuation Aswath Damodaran.
It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, conuterparty wrong-way counterparty risks. The 2nd edition provides a timely update with revised or expanded discussion of topics that have received particular attention in finance and public policy circles over the past two years.
Review of “Counterparty Credit Risk by Jon Gregory”
A Simple model for a credit insurer. Understanding and managing counterparty risk and CVA credit value adjustment has become a key problem for all financial institutions.
Series The Wiley Finance Series. A Complete Guide to Pricing, Hedging and Risk Management, nominated in for counterpagty Kulp-Wright award for the most significant text in risk management creedit insurance. Back cover copy Failures of large financial institutions and sovereigns, leading to bankruptcies and dramatic bailouts have thrust counterparty credit risk heavily into the spotlight as the key element of financial risk management.
This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it.
Managing Counterparty Credit Risk Chapter About the Author Jon Gregory is an experienced practitioner in the area of financial risk management. Inhe was co-author of the book Credit: Banks and other financial institutions have been developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment.
Center for Risk Management Research
Anthony P Badali rated it it was amazing Jul 04, This book is not yet featured on Listopia. Return to Book Page.
A Characterising exposure for a normal distribution. Quantitative Value Wesley R. Financial Modeling and Valuation Paul Pignataro. Just a moment while we sign you in to your Goodreads account.
The new challenge for global financial markets. Request permission to reuse content from this site. The implications of an institution valuing their own default via debt value adjustment Creeit are also considered at length.
B Computing marginal EE. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk. B Approximation to the CVA formula in the case of no wrong-way risk.
The implications of an riak valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length. Most of the material has been rewritten or expanded. We’re featuring millions of their reader ratings on our book pages to help you find your new favourite jn.
The basics of counterparty risk management, including aspects crediit as potential future exposure, netting and collateral, are defined. He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and CVA practices.
Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
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 cresit every financial institution. Sagar marked it as to-read Dec 04, Other books in this series. Mitigation of Counterparty Credit Risk Chapter 4: The book has a supporting website, www.
Investment Banking Joshua Rosenbaum.