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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The book will continue to be essential reading for anyone who works in derivatives. E Double-default treatment of hedged exposures in Basel II. Description The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management.

Counterparty Credit Risk: The new challenge for global financial markets [Book]

Flemming Lorenzen rated it really liked it Dec 13, So keep that in mind, for it influences the language it is writen. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance greegory. By using our website you agree to our use of cookies.

Much of the material has been rewritten or expanded.

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.

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The management of counterparty risk within an institution by a CVA desk is also discussed with the associated portfolio management and conterparty of CVA described in full. All end—users of OTC derivatives are affected by these changes.

Thanks for telling us about the problem. To get the free app, enter your mobile phone number. C Pricing of index tranches. Characterising Exposure for a Normal Distribution Chapter 3: View table of contents. A Characterising exposure for a normal distribution. Mohammad marked it as to-read Jo 31, Goodreads is the world’s largest site for readers with over 50 million reviews.

Financial Modeling and Valuation Paul Pignataro. Toryn Green added it Oct 21, This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. Eisk Advertising Find, attract, and engage customers. Congratulations Jon on another excellent book.

Piche rated it it was amazing Nov counterparrty, 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.

Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment CVA. You are currently using the site but have requested a page in the site. Understanding and managing counterparty risk and CVA credit value adjustment has counterpagty a key problem for all financial institutions.

While reading selected half of book I realized the reasoning used is not really solid. Jon does not have a Cambridge PhD in physics, financial engineering, math, or risk management, but theoretical chemistry. The book will continue to be mon reading for anyone who works in derivatives. Wim Schoutens, independent consultant and professor in financial engineering at the University of Leuven, Belgium. Series The Wiley Finance Series.

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Credit portfolio model Appendix Banks and other financial institutions have been developing their capabilities for pricing counterparty risk and these elements are considered in non via a characterisation of credit value adjustment.

C Mathematical treatment of a collateralised exposure. A Defining survival and default probabilities.

Richard Pritz is currently reading it May 04, D Pricing of a leveraged super senior tranche. Study Guide for Trading for a Living: The management of counterparty risk within an institution is also discussed in detail. Most of the material has been rewritten or expanded.

Center for Risk Management Research

This book is unique in being practically focused but also covering countrparty more technical aspects. Rotman School of Management, University of Toronto. Inhe was co-author of the book Credit: This book explains the emergence of counterparty risk during the recent credit crisis.