This new edition of his definitive treatment of the subject, fully updated and expanded, will remain the goto source on counterparty risk management and valuation. Counterparty credit risk 2nd edition minibook by jon gregory. A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner. A detailed, expertdriven guide to todays major financial point of interest the xva challenge. Jon gregory is an independent expert specialising in counterparty risk and related aspects. A recent trend in pricing counterparty credit risk for otc derivatives has. Jan 26, 2010 dr jon gregory is a consultant specialising in the area of counterparty risk. This book explains the emergence of counterparty risk during the recent credit crisis.
Counterparty credit risk, funding, collateral, and capital now in its third edition and central counterparties. In addition to publishing papers on the pricing of credit risk and related topics, jon is author of the book counterparty credit risk the new challenge for the. These topics are covered in more detail in other places e. He has worked on many aspects of credit risk in his career, being previously with barclays capital, bnp paribas and citigroup. Counterparty credit risk, funding, collateral and capital. He is author of the book counterparty credit risk and credit value adjustment. Use features like bookmarks, note taking and highlighting while reading the xva challenge.
The concept of funding value adjustment fva can be seen as being related to counterparty risk reduction and will also be introduced. Counterparty credit risk, funding, collateral, and capital is a practical guide from one of the leading and most influential credit practitioners, jon gregory. The current european banking crisis and the crisis of 2008 has put a new emphasis on credit risk management. Counterparty risk management is a collection of clear and concise articles produced by some of the most experienced and prominent professionals in the field affiliated with such respected institutions as the federal reserve board of governors, ubs. Counterparty credit risk and credit value adjustment goodreads. In the final chapter of counterparty credit risk, jon gregory discusses the future. Counterparty credit risk and credit value adjustment wiley. He is a senior advisor for solum financial derivatives advisory and a faculty member for the certificate of quantitative finance cqf.
Counterparty credit risk and credit value adjustment. This is a very readable book about an area that has become increasingly important to all financial institutions. Dr jon gregory is a consultant specialising in the area of counterparty risk. Jon gregory counterparty credit risk the new challenge for.
Traditionally, credit risk can generally be thought of as lending risk. Jon gregory a john wiley and sons, ltd, publication counterparty credit risk. Dec 18, 2010 dr jon gregory is a consultant specialising in the area of counterparty risk. Counterparty credit risk, funding, collateral and capital the wiley finance series kindle edition by gregory, jon. Sep 22, 2015 a detailed, expertdriven guide to todays major financial point of interest. From 1997 to 2005 he was with bnp paribas and from 2005 until 2008 he was global head of credit analytics at barclays capital.
The xva challenge a detailed, expertdriven guide to todays major financial point of interest the xva challenge. Counterparty credit risk and credit value adjustment jon gregory is the acknowledged global expert on counterparty credit risk. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and. Aug 24, 2012 counterparty credit risk and credit value adjustment jon gregory is the acknowledged global expert on counterparty credit risk. Please note that this second edition of counterparty credit risk and credit value jon gregory is an experienced practitioner in the. Jon gregory is the acknowledged global expert on counterparty credit risk. Sep 07, 2012 jon gregory is an experienced practitioner in the area of financial risk management. He is a senior advisor for solum financial derivatives advisory and is a faculty member for the certificate of quantitative finance cqr. Counterparty credit risk by jon gregory overdrive rakuten.
A detailed, expertdriven guide to todays major financial point of interest. A continuing challenge for global financial markets. Jon gregory london financial studies teaching team. Counterparty risk management is a collection of clear and concise articles produced by some of the most experienced and prominent professionals in the field affiliated with such respected institutions as the federal reserve board of governors, ubs, jp morgan and credit suisse the content of counterparty risk management is part of the daily job of any financial industry related professional. Jon gregory is an experienced practitioner in the area of financial risk management. A continuing challenge for global financial markets, edition 2 ebook written by jon gregory. Dr jon gregory independent expert in counterparty risk and. Dr jon gregory is an independent expert specialising in counterparty risk and xva related projects.
To make the book accessible to nonquantitative readers, the more technical. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements. Counterparty credit risk, funding, collateral and capital the wiley finance series. From 1997 to 2005, he 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. Download for offline reading, highlight, bookmark or take notes while you read counterparty credit risk and credit value adjustment. From 1997 to 2005 he was with bnp paribas and from 2005 until 2008 he was global head of credit analytics at barcla.
Gregorys book is that it is the most intuitive, right to the point, easy to readunderstand, and concise book on counterparty risk management out there. This book explains the emergence of counterparty risk and how financial. A practical guide to counterparty risk management and credit value adjustment from a leading credit practitionersince 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. The first decade of the 21st century has been disastrous for fina. The complete guide topricing, hedging and risk management, shortlisted for thekulpwright book award for the most significant text in the fieldof risk management and insurance. Counterparty credit risk, funding, collateral and capital, third edition. Pdf counterparty credit risk and credit value adjustment. Counterparty credit risk ebook by jon gregory rakuten kobo. Counterparty risk is now a key problem for all financial institutions.
From 1995 to 1997 he worked in the fixed income division of salomon brothers. The xva challenge wiley online books wiley online library. The new challenge for global financial markets jon gregory a john wiley and sons, ltd, publication counterparty credit risk. Counterparty credit risk, funding, collateral, and capital wiley finance 3rd. The highlyanticipated second edition of the acclaimed 2009 title from jon gregory counterparty risk and credit derivatives specialist. A continuing challenge for global financial markets wiley finance series.
The quantification of firmwide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management margining. 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. Counterparty credit risk, funding, collateral and capital a detailed, expertdriven guide to todays major financial point of interest the xva challenge. Counterparty credit risk the new challenge for global financial markets. Buy counterparty credit risk and credit value adjustment. He started his career at salomon brothers now citigroup. Dva for some banks was the only silver lining of the counterparty risk cloud. 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. Counterparty credit risk, funding, collateral and capital the wiley finance series 9781119109419 by gregory, jon and a great selection of similar new, used and collectible books available now at great prices. Read counterparty credit risk the new challenge for global financial markets by jon gregory available from rakuten kobo.
The first decade of the 21st century has been disastrous for financial institutions, derivatives and risk management. Gregory s book is that it is the most intuitive, right to the point, easy to readunderstand, and concise book on counterparty risk management out there. Dva allowed banks to account for their own default in the value of transactions. Dr jon gregory is a partner at solum financial partners llp and specialises in counterparty risk and cva related consulting and advisory projects. Since most counterparty risk books may hedge only the major. Sep 07, 2012 counterparty credit risk and credit value adjustment. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking.
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