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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His exposition is clear and accessible, which is remarkable given the complexity of the topic.
Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
Lists with This Book. A Deriving the equation for credit value adjustment CVA.
Other books in this series. From to he was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital.
Counterparty Credit Risk: The new challenge for global financial markets
Permissions Request permission to reuse content from this site. The basics of counterparty risk management, including aspects such as potential future exposure, netting and collateral, are defined. Issam Esber marked it as to-read May 19, The quantification countwrparty firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management margining.
This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. Published October 15th by Wiley first published September 7th Rotman School of Management, University of Toronto. Request permission to reuse dounterparty from this site. Credit Value Adjustment Chapter 9: B Calculation of collateralised netted exposure with collateral value uncertainty.
The xVA Challenge: Counterparty Credit Risk BookCVA Central
cresit A Computing the EE of a typical forward exposure with correlation to a time of default. All end—users of OTC derivatives are affected by these changes. 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. Investment Banking Joshua Rosenbaum.
Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. Financial Statement Analysis Martin S. Want to Read saving…. Steven Southard marked it as to-read Sep 10, Cristiano rated it it was amazing Mar 29, It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and 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.
Center for Risk Management Research
Investment Valuation Aswath Damodaran. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. Prashant Gautam marked it as to-read May 05, You are currently using the site but have requested a page in the site.
About Jon Gregory Jon Gregory is jom experienced practitioner in the area of financial risk management. 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.
Puneet Lamba rated it really liked it Sep 15, He started his career at Salomon Brothers riso Citigroup. Lena marked it as to-read Apr 23, The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators. Stay ahead with the world’s most comprehensive technology and business learning platform. He holds a PhD from Cambridge University. His exposition is clear and accessible, which is remarkable given the complexity of the topic.
A must read for everybody in the financial industry dealing with counterparty risk. Goodreads is the world’s largest site for readers with over 50 million reviews.
Series The Wiley Finance Series.
B Pricing formulas for CDSs and risky bonds.