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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B The valuation of credit insurer purchased protection. East Dane Designer Men’s Fashion. There are few valuable points in this book. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products and regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed.

The book will continue to be essential reading for anyone who works in derivatives. We’re featuring millions of their reader ratings on our book pages couunterparty help you find your new favourite book. Deep Value Tobias E. You are currently using the site but have requested a page in the site. Iljaas rated it really liked it Apr 26, As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk.


Simple treatment of wrong-way risk Chapter Prashant Gautam marked it as to-read May 05, Reox rated it it was amazing Apr 09, He started his career at Salomon Brothers now Citigroup. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks.

Series The Wiley Finance Series. From to he worked in the Fixed Income division of Salomon Brothers. Book ratings by Goodreads. Jon has published a number of papers and articles counteprarty risk management, credit derivatives and quantitative finance and is a regular speaker at international conferences.

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Center for Risk Management Research

The sudden realisation of extensive counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. Jelena Ivanovic marked it as to-read Nov 22, The new challenge for global financial markets 2 reviews.


Description The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Example of calculation of CVA greeks Chapter Jon does not have a Cambridge PhD in physics, financial engineering, math, or risk management, but theoretical chemistry.

Focusing on jonn methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking.

Value Investing Bruce C. Investment Valuation Aswath Damodaran. This book is perfect.

Review of “Counterparty Credit Risk by Jon Gregory”

Learn more about Amazon Giveaway. E Double-default treatment of hedged exposures in Basel II.

This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. The book has a supporting website, www. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk gregoy CVA.