Counterparty Credit Risk and Credit Value Adjustment

A Continuing Challenge for Global Financial Markets

Business & Finance, Finance & Investing, Finance
Cover of the book Counterparty Credit Risk and Credit Value Adjustment by Jon Gregory, Wiley
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Author: Jon Gregory ISBN: 9781118316665
Publisher: Wiley Publication: September 7, 2012
Imprint: Wiley Language: English
Author: Jon Gregory
ISBN: 9781118316665
Publisher: Wiley
Publication: September 7, 2012
Imprint: Wiley
Language: English

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner

Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital.

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 clearing, 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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner

Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital.

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 clearing, 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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