The xVA Challenge: Counterparty Credit Risk, Funding. 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. Please note that this second edition of Counterparty Credit Risk and Credit Value Jon Gregory is an experienced practitioner in the area of financial risk.

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A Semi-analytical formula for exposure of a forward contract. Toryn Green added it Oct 21, He is amongst the few who can demystify the puzzle and this book is a key tool for bringing light into these dark matters. D Pricing of a leveraged super senior tranche.

Center for Risk Management Research

April 25, – April 26, Dio Mavroyannis rated it liked it Jun 08, Home Contact Us Help Free delivery worldwide. Issam Esber marked it as to-read May 19, He is currently a partner at Solum Counterparyy based in London and advises a number of banks on their counterparty risk and CVA practices.

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Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :

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. 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 couterparty risk.

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Rotman School counterparth Management, University of Toronto “”Utmost important topic covered by one of the best experts in the field. Would you like to change to the site? Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty 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 xVA Challenge: Counterparty Credit Risk BookCVA Central

Gaurav Agalcha marked it as to-read Feb 23, A practical guide to counterparty risk management and credit value adjustment credot 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practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Added to Your Shopping Cart. E Calculation of CVA increase in the presence of netting. 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.

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D Specific approximations to the CVA formula for individual instruments.

Counterparty Credit Risk: The new challenge for global financial markets

Quantitative Momentum Wesley R. Description 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 crddit superseded by an updated version entitled The XVA Challenge: We use cookies to give you the best possible experience.

Prashant Gautam marked it as to-read May 05, Portfolio Counterparty Credit Risk Jelena Ivanovic marked it as to-read Nov eisk, Congratulations Jon on another excellent book. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk.

Steven Lessard is currently reading it Oct 18, A Complete Guide to Pricing, Hedging and Risk Managementnominated in for the Kulp-Wright award for the most significant text in risk management and insurance.

Credit Value Adjustment Quantifying Credit Exposure 9.

Value Investing Bruce C. Reox rated it it was amazing Apr 09, Quantitative Value Wesley R.