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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The management of counterparty risk within an institution by a CVA desk is countefparty discussed with the associated portfolio management and hedging of CVA described in full. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.
Review of “Counterparty Credit Risk by Jon Gregory”
Issam Esber marked it as to-read May 19, Inside the Black Box Rishi K. 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. This book is not yet featured counterpargy Listopia.
This book explains the emergence of counterparty risk during the recent credit crisis. 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.
Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The first edition of this book has become a standard reference on the subject of counterparty credit risk. A Effective remaining maturity.
From to he was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital. Lena marked it countreparty to-read Apr 23, From to he worked in the Fixed Income division of Salomon Brothers. Jon Gregory is an experienced practitioner in the area of financial risk management. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets.
About Jon Gregory Jon Gregory is an experienced practitioner in the area of financial risk management. Cristiano rated it it was amazing Mar 29, Flemming Lorenzen rated it really liked it Dec 13, This book is unique in being practically focused but also covering the more technical aspects.
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A Semi-analytical formula for exposure of a forward contract. Imanuvel marked it as to-read Apr 12, He holds a PhD from Cambridge University.
Expected Returns Antti Ilmanen. From to he was with BNP Paribas and from until he was global head of credit analytics at Barclays Capital. Books by Jon Gregory.
Center for Risk Management Research
The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators. Xiaoming wang rated it it was amazing Dec 01, Since the collapse counterpartu 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. With Safari, you learn the way you learn best. Jkn Simple model for a credit insurer.
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. Request permission to reuse content from this site.
Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :
Like them, it is a must—buy for anyone involved with derivatives markets. Inhe was co-author of the counteeparty Credit: A Defining survival and default probabilities. From tohe worked for BNP Paribas, initially developing the framework for the pricing and management of counterparty risk for the fixed income division and later being part of the rapid growth of the credit derivatives business.