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 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. Defining Survival and Default Probabilities Appendix 6.
Vivek is currently reading it Sep 06, The book has a supporting grehory, www. Amazon Second Chance Pass it on, trade it in, give it a second life. Congratulations Jon on another excellent book.
The xVA Challenge: Counterparty Credit Risk BookCVA Central
I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy. 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.
Toryn Green added it Oct 21, The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management margining. Series The Gregofy Finance Series. countegparty
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Wiley; 2 edition September 7, Publication Date: His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators. I would not buy the book which does not equip me with a clear idea how to implement the knowledge it discusses. There are few valuable points in this book.
The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Thanks for telling us about the problem. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk. Calculation of CVA increase in the presence of netting Appendix 7.
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Want counterparfy Read saving…. Sagar marked it as to-read Dec 04, Market practice around counterparty credit risk and credit and debit value adjustment CVA and DVA The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments FVA, ColVA and KVA The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets.
Power added it Rsik 29, Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to chapter appendices that can safely be skipped by the interested non-specialist.
The book has a supporting website, www. Flap copy Counterparty credit risk and credit value adjustment “”Jon Gregory is the acknowledged global expert on counterparty credit risk. Other books in this series. Open Preview See a Problem? Credit portfolio eisk Appendix It greory 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.
It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. C Pricing of index tranches. B Formula for a risky option. English Choose a language for shopping. AmazonGlobal Ship Orders Internationally. Start Free Trial No credit card required.
Amazon Advertising Find, attract, and engage customers. I hope the mathematical appendices find there way back into the written ris in the next edition. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.
Books by Jon Gregory. B Crecit formulas for CDSs and risky bonds. Goodreads is the world’s largest site for readers with over 50 million reviews. Camille Puchercos rated it really liked it Nov 07, Kindle Edition Verified Purchase.
Overview of Credit Risk and Credit Derivatives 6. Just a moment while we sign you in to your Goodreads account. He holds credi PhD from Cambridge University. Anthony P Badali rated it it was amazing Jul 04, Share your thoughts with other customers. So keep that greglry mind, for it influences the language it is writen.
A Characterising exposure for a normal distribution. Kindle Cloud Reader Read instantly in your browser. Please try again later.