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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With the second edition Jon Gregory brings the reader right up to date. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it.
Counterparty Credit Risk: The new challenge for global financial markets
A Calculation of collateralised PFE cash collateral. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies.
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. Montserrat marked it as to-read Feb 19, There are many practical examples, including experiences from the recent credit crisis. Sagar marked it as to-read Dec 04, Lists with This Book. Deep Value Tobias E. Saeed rated it liked it Dec 26, This book explains the emergence of counterparty risk and how financial institutions are developing capabilities cerdit valuing it.
Wim Schoutens, independent consultant and professor in financial engineering at the University of Leuven, Belgium. Trivia About Counterparty Cred With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary.
A Credit portfolio model. Flap copy Counterparty credit risk and credit value adjustment “”Jon Gregory is the acknowledged global expert on counterparty gregofy risk. Congratulations Jon on another excellent book. Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to chapter gretory that can safely be skipped by the interested non-specialist.
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. crfdit
Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
If you continue to use this site we will assume that you are happy with it. C Approximation linking CVA formula to credit spread. Quantitative Momentum Wesley R.
Book 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.
Defining Counterparty Credit Risk 3. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products and regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed.
Books by Jon Gregory.
Center for Risk Management Research
From to he was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital. B Computing marginal EE. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by greyory Basel II capital requirements.
View table of contents. Quantitative Value Wesley R. This new edition of his definitive treatment of the subject, fully updated and expanded, will remain the go-to source on counterparty risk management and valuation. Ralitsa rated it liked it Nov 30, D Specific approximations to the CVA formula for individual instruments. Description 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: Table of contents Acknowledgements.
Counterparty risk is now a key problem for all financial institutions. April 25, job April 26, The Future of Counterparty Risk Cao Mai marked it as to-read Aug 16, Issam Esber marked it as to-read Countefparty 19, Product details Format Grrgory pages Dimensions x x 30mm C Mathematical treatment of a collateralised exposure.
Review of “Counterparty Credit Risk by Jon Gregory”
Abhinav Rastogi marked it as to-read Oct 10, I highly recommend this book to gregorry intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.
Hedging Counterparty Risk His exposition is clear and accessible, which is remarkable given the complexity of the topic. Cristiano rated it it was amazing Mar 29, Stay ahead with the world’s most comprehensive technology and business learning platform.
He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and CVA practices. Like them, it is a must—buy for anyone involved with derivatives markets.
This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. From tohe worked for BNP Paribas, initially developing the framework for the pricing cgedit management of counterparty risk for the fixed income division and later being part of the rapid growth of the credit derivatives business.
Funding and Valuation Jian Wang rated it it was amazing Feb 26, The Best Books of