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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Stockfish rated it it was amazing Mar 17, The implications of an institution valuing their own default via debt value adjustment DVA are also considered at length. There are few valuable points in this book. Added to Your Shopping Cart. East Dane Designer Men’s Fashion. There’s a problem loading this menu right now.

Rowe, President, David M. This third edition greatly extends the coverage rsik the first two editions.

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A Simple model for a credit insurer. C Approximation linking CVA formula to credit spread. Shopbop Designer Fashion Brands. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk.

Top Reviews Most recent Top Reviews. The Role of a Central Counterparty Counterparty Credit Risk, Funding, Collateral, and Capital gregoru a practical guide from one of the leading and most influential credit practitioners, Jon Gregory.


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. Alternative Investments Mark J. Investment Valuation Aswath Damodaran. The 2nd edition provides a timely update with revised or expanded discussion of topics that have received particular attention in finance and public policy circles over gregorj past two years.

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital, 3rd Edition

Wiley; 2 edition September 7, Publication Date: Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. Unfortunately, unlike the 1st edition, the appendices which go into further mathematical detail are no longer included in the book.

Financial Modeling and Valuation Paul Pignataro. Published October 15th by Wiley first published September 7th Amazon Giveaway ccredit you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers.

A Continuing Challenge for Global Financial Markets, Second Edition explains gregody history of the subject and its emergence as the key financial risk during the global financial crisis.

The new challenge for global financial markets. Congratulations Jon on another excellent book. Description A practical guide to counterparty ridk 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.


Investment Banking Joshua Rosenbaum.

I hope the mathematical appendices find there way back into the written text in the next edition. Inside the Black Box Rishi K.

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

A must read for everybody in the financial industry dealing with counterparty risk. AmazonGlobal Ship Orders Internationally. The grgeory 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. The book has a supporting website, www. I would search more if I knew that then- 5 -star rating was really not reliable.

Sagar marked it as to-read Dec 04, Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparfy risk has become an unavoidable issue for every financial institution.

The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets.