[request_ebook] Counterparty Credit Risk: The new challenge for global financial markets


Author: Jon Gregory

Pages: 448

Publisher: The Wiley Finance Series

Category: Technical


Posted on 2010-01-30, updated at 2010-07-21, by obrefo.

Description

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.

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