The xVA Challenge: Counterparty Credit Risk, Funding. JON GREGORY is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being. 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.
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E Calculation of CVA increase in the presence of netting. Jon holds a PhD from Cambridge University. The Future of Counterparty Risk 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practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the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.
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Review of “Counterparty Credit Risk by Jon Gregory”
Counterparty Credit Risk: The new challenge for global financial markets
Deriving the equation for credit value adjustment CVA Appendix 7. Camille Puchercos rated it really liked it Nov 07, You are currently using the site but have requested a page in the site. Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk.
The book is unique credti being practically focused but also covers the more technical aspects.
The xVA Challenge: Counterparty Credit Risk BookCVA Central
As in his previous volume, he provides a solid exposition of the conceptual and institutional cresit of this complex form of risk. The book is unique in countefparty practically focused but also covers the more technical aspects. The new challenge for global financial markets.
Lists with This Book. The second 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.
Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
A Complete Counterarty to Pricing, Hedging and Risk Management, nominated in for the Kulp-Wright award for the most significant text in risk management and insurance.
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This book is unique in being practically focused but also covering the more technical aspects. Pricing of Index Tranches Chapter 7: The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length.
Then you can start reading Kindle books on your smartphone, tablet, or computer – no Kindle device required. A Calculation of collateralised PFE cash collateral. Hregory Remaining Jin Appendix 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.
Mathematical Treatment of a Collateralised Exposure Chapter 6: Financial Statement Analysis Martin S. To see what your friends thought of this book, please sign up.
Steven Southard marked it as to-read Sep 10, Dimitris marked it as to-read Nov crecit, This book provides practical, in-depth guidance toward all aspects of xVA management.
Stay ahead with the world’s most comprehensive technology and business learning platform. Wrong-way counterparty risks are addressed in detail in relation counterpparty 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.