JON GREGORY COUNTERPARTY CREDIT RISK PDF

He delivers an authoritative and clear explanation of the nature of counterparty risk, as well as its measurement, market valuation, and management. He includes lessons learned from the financial crisis, and coverage of important related business issues, including collateralisation, capital requirements and central clearing. Essentially any risk manager, regulator, policy maker, or scholar concerned with over-the-counter derivatives markets will find this an indispensable guide. He relies mainly on graphics and examples to illustrate his points, banishing most mathematical formulas to chapter appendices that can safely be skipped by the interested non-specialist. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its public policy implications. This is a very readable book about an area that has become increasingly important to all financial institutions.

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He delivers an authoritative and clear explanation of the nature of counterparty risk, as well as its measurement, market valuation, and management. He includes lessons learned from the financial crisis, and coverage of important related business issues, including collateralisation, capital requirements and central clearing.

Essentially any risk manager, regulator, policy maker, or scholar concerned with over-the-counter derivatives markets will find this an indispensable guide. He relies mainly on graphics and examples to illustrate his points, banishing most mathematical formulas to chapter appendices that can safely be skipped by the interested non-specialist. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its public policy implications.

This is a very readable book about an area that has become increasingly important to all financial institutions. List of Spreadsheets. List of Abbreviations. Appendix 2. A Characterising exposure for a normal distribution. Appendix 3. A EE of independent normal variables. Appendix 4. A Semi-analytical formula for exposure of a forward contract.

B Computing marginal EE. Appendix 5. A Calculation of collateralised PFE cash collateral. B Calculation of collateralised netted exposure with collateral value uncertainty. C Mathematical treatment of a collateralised exposure. Appendix 6. A Defining survival and default probabilities. B Pricing formulas for CDSs and risky bonds. C Pricing of index tranches. Appendix 7. A Deriving the equation for credit value adjustment CVA. B Approximation to the CVA formula in the case of no wrong-way risk.

C Approximation linking CVA formula to credit spread. D Specific approximations to the CVA formula for individual instruments.

E Calculation of CVA increase in the presence of netting. Appendix 8. A Computing the EE of a typical forward exposure with correlation to a time of default. B Formula for a risky option. C Formula for pricing a CDS contract with counterparty risk. D Pricing of a leveraged super senior tranche. Appendix 9. Appendix A Credit portfolio model.

B Simple treatment of wrong-way risk. A Effective remaining maturity. D Definition of effective EPE. E Double-default treatment of hedged exposures in Basel II. A Simple model for a credit insurer. B The valuation of credit insurer purchased protection. He started his career at Salomon Brothers now Citigroup. From to , he worked for BNP Paribas, initially developing the framework for the pricing and management of counterparty risk for the fixed income division and later being part of the rapid growth of the credit derivatives business.

He has published many papers in the area of credit risk, recently looking at some of the complex counterparty risk issues in relation to the credit crisis.

In , he was co-author of the book Credit: The Complete Guide to Pricing, Hedging and Risk Management , short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University.

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