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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Middlethought rated it it was amazing Aug 05, It is remarkably clear and accessible, especially considering how technical and sophisticated these topics are.
View table of contents. B Simple treatment of wrong-way risk. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment CVA.
There are many practical examples, including experiences from the recent credit crisis. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.
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Center for Risk Management Research
A Credit portfolio model. Value Investing Bruce C. This book explains the crddit of counterparty risk and how financial institutions are developing capabilities for valuing it. Product details Format Hardback pages Dimensions x x 30mm A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner.
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Sgunupuru marked it as to-read Jun 29, Jon Gregory provides the reader with a greggory, yet readable, discourse on the different facets of counterparty risk.
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. D Definition of effective EPE. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. Want to Read saving….
Counterparty Credit Risk: The new challenge for global financial markets
Imanuvel marked it as to-read Apr 12, B The valuation of credit insurer purchased protection. Ralitsa rated it liked it Nov 30, Puneet Lamba rated it really liked it Sep 15, Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to crfdit appendices that can safely be skipped by the interested non-specialist.
A Deriving the equation for credit value adjustment CVA. D Pricing of a leveraged super senior tranche.
Review of “Counterparty Credit Risk by Jon Gregory”
The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length. If you continue to use this site kon will assume that you are happy with it.
Wim Schoutens, independent consultant and professor in financial engineering at the University of Leuven, Belgium. This book is not yet featured on Listopia. Rotman School of Management, University of Toronto “”Utmost important topic covered by one of grgeory best experts in the field. Lists with This Book.
The xVA Challenge: Counterparty Credit Risk BookCVA Central
Lena marked it as to-read Apr 23, From to he was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital. Marc added it Dec 04, The management of counterparty risk within an institution by a CVA desk is also discussed with the associated portfolio management and hedging of CVA described in full. Mohammed Hseini rated it it was amazing Aug 02, 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.
E Calculation of CVA increase in the presence of netting. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.
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The first edition of this book has become a standard reference on the subject of counterparty credit risk. 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. Hardcoverpages.