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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Home Contact Us Help Free delivery worldwide. 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 explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it.
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 counter;arty, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.
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The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital, 3rd Edition
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Deep Value Tobias E. Inside the Black Box Rishi K. Quantitative Value Wesley R. Financial Modeling and Valuation Paul Pignataro. Flap copy Counterparty credit risk and credit value couterparty “”Jon Gregory is the acknowledged global expert on cresit credit risk. This new edition of his couunterparty treatment of the subject, fully updated and expanded, will remain the go-to source on counterparty risk management and valuation. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators.
As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk.
Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to online appendices that will be needed only by those with strong mathematical interest. 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.
I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparyy credit risk and its implications for public policy. Rowe, President, David M. 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 ris text in a rapidly evolving field of counterparty credit risk. With the second edition Jon Gregory brings the gregoy right up to date. Most of the material has been rewritten or expanded.
The book will continue to be essential reading for anyone who works in derivatives. Rotman School of Management, University of Toronto “”Utmost important topic covered by one of the best experts in the field.
The xVA Challenge: Counterparty Credit Risk BookCVA Central
A must read for everybody in the financial industry dealing with counterparty risk. His exposition is clear and accessible, which is remarkable given the complexity of the topic. There are many practical examples, including experiences from the recent credit crisis.
His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk. Back cover copy Failures of large financial institutions and sovereigns, leading to bankruptcies and dramatic bailouts have thrust counterparty credit risk heavily into the spotlight as the key element of financial risk management.
Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
The sudden realisation of extensive counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy. Understanding and managing counterparty risk and CVA credit value adjustment has become a key problem for all financial institutions. A Continuing Challenge for Global Financial Markets, Second Edition” explains the history of the subject and its emergence as the key financial risk during the global financial crisis.
The basics of counterparty risk management, including aspects such as potential future exposure, netting and collateral, are defined. Banks and other financial institutions have been developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment. Wrong-way counterparty risks are addressed in detail in relation to 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.
The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length. 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. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
The first edition of this book has become a standard reference on the subject of counterparty credit risk. The second edition has been completely re-written to cover the recent extensive changes in theory, market practice and regulation and the new topics of risk-free valuation, funding considerations and Basel III capital requirements.
The book is unique in being practically focused but also covers the more technical aspects. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk and CVA.
The book has a supporting website, www. About Jon Gregory Jon Gregory is an experienced practitioner in the area of financial risk management.
From to he worked in the Fixed Income division of Salomon Brothers. From to grrgory was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital. Jon has published a number of papers and articles on risk management, credit derivatives counteroarty quantitative finance and is a regular speaker at international conferences. He was a co-author of the book Credit: 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.
He is currently a partner at Solum Financial based in Counteroarty and advises a number of banks on their counterparty risk and CVA practices. He holds a PhD from Cambridge University. Book ratings by Goodreads. Goodreads is the world’s largest site for readers with over 50 million reviews. We’re featuring millions of their reader ratings rgegory our book pages to help you find your new favourite book.