Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition By Jon Gregory(auth.)
2012 | 465 Pages | ISBN: 1118316673 | PDF | 6 MB
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. 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.Content: Chapter 1 Introduction (pages 3-8): Chapter 2 Background (pages 9-20): Chapter 3 Defining Counterparty Credit Risk (pages 21-40): Chapter 4 Netting, Compression, Resets and Termination Features (pages 45-57): Chapter 5 Collateral (pages 59-77): Chapter 6 Default Remote Entities and the Too Big to Fail Problem (pages 79-96): Chapter 7 Central Counterparties (pages 97-119): Chapter 8 Credit Exposure (pages 121-153): Chapter 9 Quantifying Credit Exposure (pages 157-195): Chapter 10 Default Probability, Credit Spreads and Credit Derivatives (pages 197-224): Chapter 11 Portfolio Counterparty Credit Risk (pages 225-240): Chapter 12 Credit Value Adjustment (pages 241-263): Chapter 13 Debt Value Adjustment (pages 265-281): Chapter 14 Funding and Valuation (pages 283-306): Chapter 15 Wrong?Way Risk (pages 307-338): Chapter 16 Hedging Counterparty Risk (pages 341-369): Chapter 17 Regulation and Capital Requirements (pages 371-402): Chapter 18 Managing CVA - The "CVA Desk" (pages 403-425): Chapter 19 The Future of Counterparty Risk (pages 427-433):