COUNTERPARTY CREDIT RISK JON GREGORY PDF

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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Aditya marked it as to-read Oct 29, Dio Mavroyannis rated it liked it Jun 08, This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it.

Review of “Counterparty Credit Risk by Jon Gregory”

Product details Format Hardback pages Dimensions x x 30mm Andrew Siu marked it as to-read Jun 02, No trivia or quizzes yet. Rowe Risk Advisory and Long-time Risk Analysis Columnist, “Risk Magazine” “”It is great to see a timely and extensive update to what has quickly become a classic text in a rapidly evolving field of counterparty rcedit risk. Sandra Carolina added it May 18, Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.

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This third edition greatly extends the coverage of the first two editions. Description The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management.

This book explains the emergence of counterparty risk during the recent credit crisis. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. 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.

He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and CVA practices. It is remarkably clear and accessible, especially considering how technical and sophisticated these topics are. Jon holds a PhD from Cambridge University.

The xVA Challenge: Counterparty Credit Risk BookCVA Central

Most of the material has been rewritten or expanded. Damodaran on Valuation Aswath Damodaran.

This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. Quantifying Credit Exposure 9.

Portfolio Counterparty Credit Risk All end—users of OTC derivatives are affected by these changes. A Calculation of collateralised PFE cash collateral. Mitigation of Counterparty Credit Risk Chapter 4: Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, grgory and, in particular, credit derivative products. The crevit is unique in being practically focused but also covers the more technical aspects. E Calculation of CVA increase in the presence of netting.

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Counterparty Credit Risk: The new challenge for global financial markets

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: Marc added it Dec crddit, Book ratings by Goodreads.

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Books by Jon Gregory. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.