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Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets (The Wiley Finance Series) Hardcover – Import, 24 Aug 2012


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From the Inside Flap

Counterparty credit risk and credit value adjustment 

Jon Gregory is the acknowledged global expert on counterparty credit 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 concepts and examples are perfectly pitched to masters students, financial market participants, and regulators. Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University 

Jon Gregory is an all too rare individual, a state–of–the–art quant who knows the limits of mathematical analysis and who also can express himself effectively with words. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to online appendices that will be needed only by those with strong mathematical interest. 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. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy. David M. Rowe, President, David M. 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 credit risk. Vladimir V. Piterbarg, Global Head of Quantitative Analytics, Barclays

Much has happened in financial markets since the first edition of Counterparty Credit Risk was published. With the second edition Jon Gregory brings the reader right up to date. Most of the material has been rewritten or expanded. The book will continue to be essential reading for anyone who works in derivatives. Professor John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto

Utmost important topic covered by one of the best experts in the field. A must read for everybody in the financial industry dealing with counterparty risk. Wim Schoutens, Research Professor, University of Leuven

Jon Gregory provides a comprehensive treatment of counterparty risk, including centralized clearing. His exposition is clear and accessible, which is remarkable given the complexity of the topic. There are many practical examples, including experiences from the recent credit crisis. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk. Stuart M. Turnbull, Bauer Chaired Professor, Bauer College of Business

From the Back Cover

Failures of large financial institutions and sovereigns, leading to bankruptcies and dramatic bailouts have thrust counterparty credit risk heavily into the spotlight as the key element of financial risk management. 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. Understanding and managing counterparty risk and CVA (credit value adjustment) has become a key problem for all financial institutions.

Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition explains the history of the subject and its emergence as the key financial risk during the global financial crisis. The basics of counterparty risk management, including aspects such as potential future exposure, netting and collateral, are defined. 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. 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 implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. The management of counterparty risk within an institution by a CVA desk is also discussed with the associated portfolio management and hedging of CVA described in full. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.

The first edition of this book has become a standard reference on the subject of counterparty credit risk. The second edition has been completely re–written to cover the recent extensive changes in theory, market practice and regulation and the new topics of risk–free valuation, funding considerations and Basel III capital requirements. The book is unique in being practically focused but also covers the more technical aspects. 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 and CVA.

The book has a supporting website, www.cvacentral.com, which contains spreadsheets, mathematical appendices and other supporting documentation, all of which are freely downloadable.

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Product details

  • Hardcover: 480 pages
  • Publisher: John Wiley & Sons; 2nd Revised edition edition (24 August 2012)
  • Language: English
  • ISBN-10: 1118316673
  • ISBN-13: 978-1118316672
  • Product Dimensions: 17.8 x 3.2 x 25.1 cm
  • Average Customer Review: Be the first to review this item
  • Amazon Bestsellers Rank: #3,32,366 in Books (See Top 100 in Books)
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Amazon.com: 4.1 out of 5 stars 6 reviews
2 people found this helpful.
4.0 out of 5 starsWell written book but Appendices not included in 2nd edition.
on 23 August 2014 - Published on Amazon.com
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6 people found this helpful.
5.0 out of 5 starsExcellent summary
on 16 October 2012 - Published on Amazon.com
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5.0 out of 5 starsEssential reference for every CVA desk
on 8 December 2013 - Published on Amazon.com
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5.0 out of 5 starsFive Stars
on 18 November 2015 - Published on Amazon.com
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One person found this helpful.
5.0 out of 5 starsThe best book so far on the topic of CVA
on 1 August 2013 - Published on Amazon.com
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