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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D Definition of effective EPE. Sagar marked it as to-read Dec 04, His yregory is clear and accessible, which is remarkable given the complexity of the topic.

Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today’s institutions. Banks and other financial institutions have been developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment.

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You counterparth currently using the site but have requested a page in the site. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy. With the second edition Jon Gregory brings the reader right up to date. Managing CounterpartyRisk in a Financial Institution This third edition greatly extends the coverage of the first two editions.


The relevant calculations are separated to enhance readability. Study Guide for Trading for a Living: To see what your friends thought of this book, please sign up. Puneet Lamba rated it really liked it Sep 15, Get to Know Us.

Review of “Counterparty Credit Risk by Jon Gregory”

Permissions Request permission to greyory content from this site. Trivia About Counterparty Cred A Complete Guide to Pricing, Hedging and Risk Management, nominated in for the Kulp-Wright award for the most significant text in risk management and insurance. Goodreads helps you keep track of books you want to read. Piche rated it it was amazing Nov 28, Most of the material has been rewritten or expanded. Share your thoughts with other customers.

Sandra Carolina added it Counteparty 18, Want to Read saving…. Cathy J marked it as to-read Aug 01, The new challenge for global financial markets.

Quantitative Momentum Wesley R. So keep that in mind, for it influences the language it is writen. The implications of an institution valuing their own default via debt value adjustment DVA and funding costs FVA are also considered at length.

His book counherparty be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk. View table of contents. Order this book today from amazon. Sgunupuru counterprty it as to-read Jun 29, Computing marginal EE Chapter 5: Most of the material has been rewritten or expanded. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it.


Check out the top books of the year on our page Best Books of About Jon Gregory Jon Gregory is an experienced practitioner in couhterparty area of financial risk management. This is an excellent summary of the current thinking in Counterparty Credit Risk, including recent regulatory changes.

Dio Mavroyannis rated it liked it Jun 08, 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.

credir As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Formula for a Risky Option Appendix 8.

Counterparty Credit Risk: The new challenge for global financial markets

Expected Returns Antti Ilmanen. C Mathematical treatment of a collateralised exposure. Iljaas rated it really liked it Apr 26, Would you like to tell us about a lower price? Aditya marked it as to-read Oct 29, Books by Jon Gregory.