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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There are many practical examples, including experiences from joh recent credit crisis. From to he worked in the Fixed Income division of Salomon Brothers. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks.
In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control countetparty rapid growth of counterparty risk. Sgunupuru marked it as to-read Jun 29, The book is unique in being practically focused but also covers the more technical aspects. Anthony P Badali rated it it was amazing Jul 04, Stay ahead with the world’s most comprehensive technology and business learning platform.
Abhinav Rastogi marked it as to-read Oct 10, 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 Valuation Aswath Damodaran. Counterparty risk is now a key problem for all financial institutions.
Center for Risk Management Research
Would you like to change to the site? He holds a PhD from Cambridge University. The management of counterparty risk within an institution is also discussed in detail. The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length. Wrong-way counterparty risks are addressed in detail in relation to interest cojnterparty, foreign exchange, commodity and, in gregoey, credit derivative products.
Middlethought rated it it was amazing Aug 05, A Characterising exposure for a normal distribution. Santoshosu rated it really liked it Jan 07, D Specific approximations to the CVA formula for individual instruments. Jon holds a PhD from Cambridge University. This book explains the emergence of counterparty risk during the recent credit crisis.
About the Author Jon Gregory is an experienced practitioner in the area of financial risk management. Much of the material has been rewritten or expanded.
Debt Value Adjustment 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. This book is unique joh being practically focused but also covering the more technical aspects.
It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk. With Safari, you learn the way you learn best. To see what your friends thought of this book, please sign up.
April 25, – April 26, You are currently using the ridk but have requested a page in the site. Vivek is currently reading it Sep 06, With the second edition Jon Gregory brings the reader right up to date.
Mattias Back rated it really liked it Nov 01, As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. E Double-default treatment jno hedged exposures in Basel II.
Alternative Investments Mark J.
Review of “Counterparty Credit Risk by Jon Gregory”
A Effective remaining maturity. A Credit portfolio model.
Permissions Request permission to reuse greory from this site. Product details Format Hardback pages Dimensions x x 30mm A practical guide to counterparty risk management and credit value adjustment from a rissk credit practitioner.
As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Other books in this series. Managing Counterparty Credit Risk Chapter He was a co-author of the book Credit: Sandra Carolina added it May 18, A 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.
Steven Lessard is currently reading it Oct 18, Quantifying Credit Exposure 9.