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.
|Published (Last):||26 August 2009|
|PDF File Size:||19.87 Mb|
|ePub File Size:||4.83 Mb|
|Price:||Free* [*Free Regsitration Required]|
Understanding and managing counterparty risk and CVA credit value adjustment has become a key problem for all financial institutions.
There are many countwrparty examples, including experiences from the recent credit crisis. To see what your friends thought of this book, please sign up. Debt Value Adjustment The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length.
Goodreads is the world’s largest site for readers with over 50 million reviews.
Center for Risk Management Research
The basics of counterparty risk management, including aspects such as potential future exposure, netting and collateral, are defined. Wim Schoutens, independent consultant and professor in financial engineering at the University of Leuven, Belgium. Alternative Investments Mark J. Marc added it Dec 04, B Simple treatment of wrong-way risk. Mohammed Hseini rated it it was amazing Aug 02, 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.
Apoorv Tandon marked it as to-read Sep 26, Puneet Lamba rated it really liked it Sep 15, Jon Gregory is an experienced practitioner in the area of financial risk management.
Financial Statement Analysis Martin S. Prashant Gautam marked it as to-read May counterarty, View table of contents. Jon holds a PhD from Cambridge University. A Continuing Challenge for Global Financial Markets, Second Edition” explains the history of the subject and its emergence as the key financial risk during the global financial crisis. If you continue to use this site we will assume that you are happy with it.
Middlethought rated it it was amazing Aug counterrparty, You are currently using the site but have requested a page in the site. You are currently using the site but have requested a page in the site.
Counterparty Credit Risk: The new challenge for global financial markets
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: Toryn Green added it Oct 21, counterpargy Rowe, President, David M.
His couhterparty should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk.
Managing Counterparty Credit Risk Chapter Rowe, President, David M. Want to Read Currently Reading Read. Added to Your Shopping Cart. Jonn Complete Guide to Pricing, Hedging and Risk Management, nominated in for the Kulp-Wright award for the most significant text in risk management and insurance.
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. The book is unique in being practically focused but also covers the more technical aspects. Jelena Ivanovic marked it as to-read Nov 22, Flemming Lorenzen rated it really liked it Dec 13, Request permission to reuse content from this site.
He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and Tisk practices. Jon Gregory provides the reader with riks comprehensive, yet readable, discourse on the different facets of counterparty risk.
Review of “Counterparty Credit Risk by Jon Gregory”
Investment Valuation Aswath Damodaran. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Banks and other financial institutions have been developing their capabilities for pricing counteparty risk and these elements are considered in detail via a characterisation of credit value adjustment.
Defining Counterparty Credit Risk 3. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
He is amongst the few who can demystify the puzzle and this book is a key tool for bringing light into these dark matters. He started his career at Salomon Brothers now Citigroup.
Steven Lessard is currently reading it Oct 18, This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. Counterparty risk is now a key problem for all financial institutions. A Semi-analytical formula for exposure of a forward contract.
Gaurav Agalcha marked it as to-read Feb 23,