JON GREGORY COUNTERPARTY CREDIT RISK PDF

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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Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. View table of contents. Would you like to change to grwgory site? I hope the mathematical appendices find there way back into the written text in the next edition.

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The first edition of this book has become a standard reference on the subject of counterparty credit risk. Aditya marked it as to-read Oct 29, Mitigating Counterparty Credit Risk 3.

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital, 3rd Edition

Expected Returns Antti Ilmanen. Inside the Black Box Rishi K.

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Most of the material has been rewritten or expanded. Mattias Back rated it really liked it Nov 01, With the second edition Jon Gregory brings the reader right up to date. With the second edition Jon Gregory brings the reader right up to date. The Future of Counterparty Risk Defining Survival and Default Probabilities Appendix 6. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies.

Series The Wiley Finance Series. The book will continue to be essential reading for anyone who works in derivatives.

Like them, it is a must—buy for anyone involved with derivatives markets.

Counterparty Credit Risk: The new challenge for global financial markets

Jelena Ivanovic marked it as to-read Nov 22, Amazon Advertising Find, attract, and engage customers. Flemming Lorenzen credig it really liked it Dec 13, Stay ahead with the world’s most comprehensive technology and business learning platform.

Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. 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.

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Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. 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.

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Pricing CounterpartyCredit Risk, I 7. 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.

The xVA Challenge: Counterparty Credit Risk BookCVA Central

You are currently using the site but have requested a page in the site. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length.