Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets

Gregory, Jon

Published by Wiley, 2012
ISBN 10: 1118316673 / ISBN 13: 9781118316672
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Synopsis: 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Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital.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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Counterparty credit risk and credit value adjustment 

Jon Gregory is the acknowledged global expert on counterparty credit risk. This new edition of his definitive treatment of the subject, fully updated and expanded, will remain the go-to source on counterparty risk management and valuation. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators.”—Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University 

Jon Gregory is an all too rare individual, a state-of-the-art quant who knows the limits of mathematical analysis and who also can express himself effectively with words. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. 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. 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. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.”—David M. Rowe, President, David M. Rowe Risk Advisory and Long-time Risk Analysis Columnist, Risk Magazine

It is great to see a timely and extensive update to what has quickly become a classic text in a rapidly evolving field of counterparty credit risk.”—Vladimir V. Piterbarg, Global Head of Quantitative Analytics, Barclays

Much has happened in financial markets since the first edition of Counterparty Credit Risk was published. With the second edition Jon Gregory brings the reader right up to date. Most of the material has been rewritten or expanded. The book will continue to be essential reading for anyone who works in derivatives.”—Professor John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto

Utmost important topic covered by one of the best experts in the field. A must read for everybody in the financial industry dealing with counterparty risk.”—Wim Schoutens, Research Professor, University of Leuven

Jon Gregory provides a comprehensive treatment of counterparty risk, including centralized clearing. His exposition is clear and accessible, which is remarkable given the complexity of the topic. There are many practical examples, including experiences from the recent credit crisis. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk.”—Stuart M. Turnbull, Bauer Chaired Professor, Bauer College of Business

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Bibliographic Details

Title: Counterparty Credit Risk and Credit Value ...
Publisher: Wiley
Publication Date: 2012
Binding: Hardcover
Book Condition: Good

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Jon Gregory
Published by Wiley (2012)
ISBN 10: 1118316673 ISBN 13: 9781118316672
Used Hardcover Quantity Available: 1
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