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Counterparty Credit Risk
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Produktbeschreibungen
Kurzbeschreibung
The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions.
This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.
A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.
This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.
A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered.
This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.
Klappentext
"Gregory has given us the first fully integrated treatment of counterparty credit risk. 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."
--Darrell Duffie, Dean Witter Distinguished Professor of Finance at The 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 can also express himself effectively with words. Counterparty Credit Risk: The New Challenge for Global Financial Markets provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. 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."
--David M. Rowe, EVP for Risk Management, SunGard, Long-time Risk Analysis columnist for Risk magazine
"Congratulations to Jon Gregory. This is a very readable book about an area that has become increasingly important to all financial institutions."
--Professor John Hull, Maple Financial Professor of Derivatives and Risk Management,
Joseph L. Rotman School of Management, University of Toronto, Canada
--Darrell Duffie, Dean Witter Distinguished Professor of Finance at The 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 can also express himself effectively with words. Counterparty Credit Risk: The New Challenge for Global Financial Markets provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. 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."
--David M. Rowe, EVP for Risk Management, SunGard, Long-time Risk Analysis columnist for Risk magazine
"Congratulations to Jon Gregory. This is a very readable book about an area that has become increasingly important to all financial institutions."
--Professor John Hull, Maple Financial Professor of Derivatives and Risk Management,
Joseph L. Rotman School of Management, University of Toronto, Canada
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Buchdeckel | Copyright | Inhaltsverzeichnis | Auszug | Stichwortverzeichnis
Buchdeckel | Copyright | Inhaltsverzeichnis | Auszug | Stichwortverzeichnis
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4 Rezensionen
6 von 6 Kunden fanden die folgende Rezension hilfreich
Nice quantitative review of CVA
31. Oktober 2010
Format:Gebundene Ausgabe|Von Amazon bestätigter Kauf
I found this review of CVA/BCVA computation very thorough and well structured. Due to lack of a complet text that covers this new area, Jon's new book should be helpful to the uninitiated. I fast-tracked to Chapter 4 :). Overall, not difficult to understand, and develops good intuition into CVA modelling.
3 von 3 Kunden fanden die folgende Rezension hilfreich
The Book you need for Counterparty Risk Management
4. Dezember 2011
Format:Gebundene Ausgabe|Von Amazon bestätigter Kauf
The thing about Dr. Gregory's book is that it is the most intuitive, right to the point, easy to read/understand, and concise book on Counterparty risk management out there. The current European banking crisis and the crisis of 2008 has put a new emphasis on credit risk management. If you are the business of managing risk, this is one of the books you need. It does not dive very deep into derivation of formulas but focuses more on what the maths means and how to use it in proper way.
If you are interested in knowing in-depth topics like EPE, PD, PFE, CVA/DVA, Bilateral CVA, impact of netting and collateral on credit risk metrics, Basel II 1/2 and III, impact of clearing houses on OTC derivatives market etc, you need to refer to this book. I highly recommend this book to the future risk managers as well because they need to know the current and the future of credit risk management in banking space. This is my first review on Amazon (and probably my last) and i wouldn't have spent time on it unless i thought this is the book that market practitioners have been missing in counterparty risk management space. It is good stuff.
If you are interested in knowing in-depth topics like EPE, PD, PFE, CVA/DVA, Bilateral CVA, impact of netting and collateral on credit risk metrics, Basel II 1/2 and III, impact of clearing houses on OTC derivatives market etc, you need to refer to this book. I highly recommend this book to the future risk managers as well because they need to know the current and the future of credit risk management in banking space. This is my first review on Amazon (and probably my last) and i wouldn't have spent time on it unless i thought this is the book that market practitioners have been missing in counterparty risk management space. It is good stuff.
1 von 1 Kunden fanden die folgende Rezension hilfreich
Not exactly an easy read
28. November 2011
Format:Gebundene Ausgabe|Von Amazon bestätigter Kauf
The author does know his subject well. But it's not one of those books you can just pick up without any prior trading experience. Once the book gets into the math/formula portion of deriving risk you need to have a good math base. However, the book does do a good job explaining the concept of CVA and methods to mitigate counterparty risk. I did have to read some sections a couple of times over to really understand it.
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