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Jon Gregory Counterparty Credit Risk and - credit-nvsk.ru
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Jon Gregory Counterparty Credit Risk and Credit Value Adjustment. A Continuing Challenge for Global Financial Markets


A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Since 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.

8322.64 RUR

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Jon Gregory Counterparty Credit Risk. The new challenge for global financial markets


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.

9070.91 RUR

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Jon Gregory The xVA Challenge. Counterparty Credit Risk, Funding, Collateral and Capital


A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral. It also discusses thoroughly the xVA terms, notably CVA, DVA, FVA, ColVA, and KVA and their interactions and overlaps. The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'. This book provides practical, in-depth guidance toward all aspects of xVA management. Market practice around counterparty credit risk and credit and debit value adjustment (CVA and DVA) The latest regulatory developments including Basel III capital requirements, central clearing, and mandatory collateral requirements The impact of accounting requirements such as IFRS 13 Recent thinking on the applications of funding, collateral, and capital adjustments (FVA, ColVA and KVA) The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital provides expert perspective and real-world guidance for today's institutions.

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Damiano Brigo Counterparty Credit Risk, Collateral and Funding. With Pricing Cases For All Asset Classes


The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

9689.07 RUR

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Daniel Rosch Credit Securitisations and Derivatives. Challenges for the Global Markets


A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.

9544.31 RUR

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Umberto Cherubini Copula Methods in Finance


Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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Группа авторов Credit Derivatives


The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related ‘real world’ issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides: A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management A thorough analysis of counterparty risk An intuitive understanding of credit correlation in reality and in the Copula model The CD in the back of this book includes an Evaluation Version of Mathcad® 12 Single User Edition, which is reproduced by permission. This software is a fully-functional trial of Mathcad which will expire 30 days from installation. For technical support or more information see http://www.mathcad.com.

12369.43 RUR

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Biagio Mazzi Treasury Finance and Development Banking. A Guide to Credit, Debt, and Risk


Credit and credit risk permeates every corner of the financial world. Previously credit tended to be acknowledged only when dealing with counterparty credit risk, high-yield debt or credit-linked derivatives, now it affects all things, including such fundamental concepts as assessing the present value of a future cash flow. The purpose of this book is to analyze credit from the beginning—the point at which any borrowing entity (sovereign, corporate, etc.) decides to raise capital through its treasury operation. To describe the debt management activity, the book presents examples from the development banking world which not only presents a clearer banking structure but in addition sits at the intersection of many topical issues (multi-lateral agencies, quasi-governmental entities, Emerging Markets, shrinking pool of AAA borrowers, etc.). This book covers: Curve construction (instruments, collateralization, discounting, bootstrapping) Credit and fair valuing of loans (modeling, development institutions) Emerging markets and liquidity (liquidity, credit, capital control, development) Bond pricing (credit, illiquid bonds, recovery pricing) Treasury (funding as an asset swap structure, benchmarks for borrowing/investing) Risk and asset liability management (leverage, hedging, funding risk)

6871.91 RUR

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Anthony Saunders Credit Risk Management In and Out of the Financial Crisis. New Approaches to Value at Risk and Other Paradigms


A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

7253.68 RUR

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Bart Baesens Credit Risk Analytics. Measurement Techniques, Applications, and Examples in SAS


The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

6490.13 RUR

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Dr Jon Gregory | Independent expert in Counterparty risk ...

Dr Jon Gregory | Independent expert in Counterparty risk and xVA DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup.

Counterparty Credit Risk and Credit Value Adjustment: A ...

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.

Counterparty Credit Risk (eBook, PDF) von Jon Gregory ...

Jon Gregory Counterparty Credit Risk (eBook, PDF) The new challenge for global financial markets. Leseprobe. Als Download kaufen-23%. 56,99 € Statt 73,99 €** 56,99 € inkl. MwSt. **Preis der gedruckten Ausgabe (Gebundenes Buch) eBook bestellen. Sofort per Download lieferbar. Jetzt verschenken-23%. 56,99 € Statt 73,99 €** 56,99 € inkl. MwSt. **Preis der gedruckten Ausgabe (Gebundenes ...

New book available now | CVA Central

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Order this book today from Amazon.co.uk or Wiley In the US order from Amazon.com GO TO MAIN WEBSITE

Central Counterparties : Jon Gregory : 9781118891513

DR JON GREGORY is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial ...

Counterparty Credit Risk by Gregory, Jon (ebook)

Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory. 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 ...

The xVA Challenge: Counterparty Credit Risk, Funding ...

Jon Gregory. 4.35 · Rating details · 26 ratings · 2 reviews A detailed, expert-driven guide to today's major financial point of interest. The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion ...

PRMIA: Counterparty Credit Risk and Credit Value ...

Counterparty Credit Risk and Credit Value Adjustment: The Continuing Challenge for Global Financial Markets Presented by Jon Gregory, Partner at Solum Financ...

Counterparty Credit Risk and Credit Value Adjustment ...

Jon Gregory is an experienced practitioner in the area of financial risk management. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and from 2005 until 2008 he was global head of credit analytics at Barclays Capital. Jon has published a number of papers and articles on risk management, credit derivatives and quantitative ...

CVA and Credit Derivatives by Jon Gregory

by Jon Gregory London: 13th & 14th December 2010 This workshop provides TWO booking options Register to ANY ONE day of the workshop Register to BOTH days of the workshop and receive £200 discount. Day 1: CVA and Credit Derivatives Presenter: Jon Gregory, Independent Consultant All delegates will receive a complimentary copy of the Wiley 2009 publication: Counterparty Credit Risk, The new ...

Counterparty Risk, Credit Exposure and CVA - Dr. Jon Gregory

Jon Gregory is the author of "Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series)", now in its second edition. This video was produced by London ...

Counterparty Credit Risk and Credit Value Adjustment: A ...

“ 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.

Jon Gregory - Faculty Member - CQF Institute | LinkedIn

View Jon Gregory’s profile on LinkedIn, the world's largest professional community. Jon has 7 jobs listed on their profile. See the complete profile on LinkedIn and discover Jon’s connections and jobs at similar companies.

The xVA Challenge: Counterparty Credit Risk, Funding ...

"Jon Gregory has written a fantastic book on counterparty risk, funding, collateral management and capital. It is remarkably clear and accessible, especially considering how technical and sophisticated these topics are. The book is an indispensable guide to the challenges of understanding and computing XVA measures and definitely one to read!"

Wiley: Central Counterparties: Mandatory Central Clearing ...

DR JON GREGORY is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial ...

Counterparty Credit Risk and Credit Value Adjustment: A ...

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.

Counterparty Credit Risk - Free

2 Defining Counterparty Credit Risk 13 2.1 Introducing counterparty risk 13 2.1.1 Origins of counterparty risk 13 2.1.2 Repos 14 2.1.3 Exchange-traded derivatives 14 2.1.4 OTC derivatives 14 2.1.5 Counterparty risk 16 2.1.6 Counterparty risk versus lending risk 17 2.1.7 Mitigating counterparty risk 18 2.1.8 Counterparty risk players 19

The Xva Challenge: Counterparty Credit Risk, Funding ...

The Xva Challenge: Counterparty Credit Risk, Funding, Collateral and Capital: Gregory PH., Jon: Amazon.nl Selecteer uw cookievoorkeuren We gebruiken cookies en vergelijkbare tools om uw winkelervaring te verbeteren, onze services aan te bieden, te begrijpen hoe klanten onze services gebruiken zodat we verbeteringen kunnen aanbrengen, en om advertenties weer te geven.

Counterparty Credit Risk and Credit Value Adjustment ...

Jon Gregory Counterparty Credit Risk and Credit Value Adjustment (eBook, PDF) A Continuing Challenge for Global Financial Markets. Leseprobe . Als Download kaufen-23%. 63,99 € Statt 82,95 €** 63,99 € inkl. MwSt. **Preis der gedruckten Ausgabe (Gebundenes Buch) eBook bestellen. Sofort per Download lieferbar. Jetzt verschenken-23%. 63,99 € Statt 82,95 €** 63,99 € inkl. MwSt. **Preis ...

The Xva Challenge: Counterparty Credit Risk, Funding ...

Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk. This book is essential reading for regulators and all users of OTC derivatives."--Stuart M. Turnbull, Bauer Chaired Professor of Finance, Bauer College of Business, University of Houston "Jon Gregory is one of the godfathers of the VA story. He is amongst the few who can ...

The xVA Challenge : Jon Gregory : 9781119109419

JON GREGORY is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the certificate of Quantitative Finance (CQR). Jon has a PhD from Cambridge University.

Wiley: Counterparty Credit Risk: The new challenge for ...

Dr Jon Gregory is a consultant specialising in the area of counterparty risk. He started his career at Salomon Brothers (now Citigroup). From 1997 to 2005, 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.

The xVA Challenge: Counterparty Credit Risk, Funding ...

Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk. This book is essential reading for regulators and all users of OTC derivatives." —Stuart M. Turnbull, Bauer Chaired Professor of Finance, Bauer College of Business, University of Houston "Jon Gregory is one of the godfathers of the VA story. He is amongst the few who ...

Counterparty Credit Risk and Credit Value Adjustment: A ...

Jon Gregory is an experienced practitioner in the area of financial risk management. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and from 2005 until 2008 he was global head of credit analytics at Barclays Capital. Jon has published a number of papers and articles on risk management, credit derivatives and quantitative ...

Central Counterparties | Wiley Online Books

DR JON GREGORY is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup.

Wiley Finance Series: Counterparty Credit Risk ebook ...

eBook Shop: Wiley Finance Series: Counterparty Credit Risk von Jon Gregory als Download. Jetzt eBook herunterladen & mit Ihrem Tablet oder eBook Reader lesen.

PDF⋙ The xVA Challenge: Counterparty Credit Risk, Funding ...

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking. Beginning with a look at the emergence of counterparty risk ...

Counterparty Credit Risk and Credit Value Adjustment: A ...

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 ...

JON GREGORY COUNTERPARTY CREDIT RISK PDF

JON GREGORY is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being. Counterparty credit risk has become the key element of financial risk management, Dr Jon Gregory is a consultant specialising in the area of counterparty risk.

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Regulatory Counterparty Credit Risk: CVA under Basel III ...

Dr. Jon Gregory is a consultant specialising in counterparty risk and credit derivatives. Until 2008, he was Global Head of Credit Analytics at Barclays Capital based in London. Jon has worked on many aspects of credit modelling over the last decade, being previously with BNP Paribas and Salomon Brothers (now Citigroup). In addition to publishing papers on the pricing of credit risk and ...

The xVA challenge : counterparty credit risk, funding ...

"A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and ...

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Jon Gregory Counterparty Credit Risk and Credit Value ...

Jon Gregory Counterparty Credit Risk and Credit Value Adjustment A Continuing Challenge for Global Financial Markets. Support. Adobe DRM (4.7 / 5.0 – 3 customer ratings) A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been ...

eBook: Central Counterparties von Jon Gregory | ISBN 978-1 ...

DR JON GREGORY is a partner at Solum Financial PartnersLLP and specialises in counterparty risk and CVA related consultingand advisory projects. He has worked on many aspects of credit riskin his career, being previously with Barclays Capital, BNP Paribasand Citigroup. He is author of the book Counterparty Credit Riskand Credit Value Adjustment: A Continuing Challenge for GlobalFinancial ...

The xVA Challenge: Counterparty Credit Risk, Funding ...

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COUNTERPARTY CREDIT RISK JON GREGORY PDF

About the Author Dr Jon Gregory is a consultant specialising in the area of counterparty risk. He started his career at Salomon Brothers now Citigroup. From tohe worked for BNP Paribas, gregorry developing the framework for the pricing and management of counterparty risk for the fixed income division and later credot part of the rapid growth of the credit derivatives business. He has published ...

Counterparty Credit Risk: The new challenge for global ...

As Gregory points out, if 2 counterparties find it difficult to trade with each other as they both wish to charge positive CVA, there are 2 possible solutions: (1). price using BCVA (so 1 party net pays the other) or (2) both parties take account of their risk to each other & mitigate as strongly as possible, e.g. through netting and collateral. I agree with his conclusion that (1) might work ...

Jon Gregory Counterparty Credit Risk The new challenge for ...

Jon Gregory Counterparty Credit Risk The new challenge for global financial markets. Support. Adobe DRM (4.5 / 5.0 – 3 customer ratings) The first decade of the 21st Century has been disastrous forfinancial institutions, derivatives and risk management.Counterparty credit risk has become the key element of financialrisk management, highlighted by the bankruptcy of the investmentbank Lehman ...

The xVA Challenge: Counterparty Credit Risk, Funding ...

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital (The Wiley Finance Series) von Gregory, Jon beim ZVAB.com - ISBN 10: 1119109418 - ISBN 13: 9781119109419 - John Wiley & Sons Inc - 2015 - Hardcover

Iain L. J. Brown, Ph.D Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT


Combine complex concepts facing the financial sector with the software toolsets available to analysts.
The credit decisions you make are dependent on the data, models, and tools that you use to determine them. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications combines both theoretical explanation and practical applications to define as well as demonstrate how you can build credit risk models using SAS Enterprise Miner and SAS/STAT and apply them into practice.
The ultimate goal of credit risk is to reduce losses through better and more reliable credit decisions that can be developed and deployed quickly. In this example-driven book, Dr. Brown breaks down the required modeling steps and details how this would be achieved through the implementation of SAS Enterprise Miner and SAS/STAT.
Users will solve real-world risk problems as well as comprehensively walk through model development while addressing key concepts in credit risk modeling. The book is aimed at credit risk analysts in retail banking, but its applications apply to risk modeling outside of the retail banking sphere. Those who would benefit from this book include credit risk analysts and managers alike, as well as analysts working in fraud, Basel compliancy, and marketing analytics. It is targeted for intermediate users with a specific business focus and some programming background is required.
Efficient and effective management of the entire credit risk model lifecycle process enables you to make better credit decisions. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications demonstrates how practitioners can more accurately develop credit risk models as well as implement them in a timely fashion.
This book is part of the SAS Press Program.

2592.45 RUR

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Geoff Chaplin Credit Derivatives. Trading, Investing,and Risk Management


The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems. The book is accompanied by a website which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.

8704.41 RUR

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Anthony Saunders Credit Risk Measurement. New Approaches to Value at Risk and Other Paradigms


The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

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Wei Chen Financial Risk Management. Applications in Market, Credit, Asset and Liability Management and Firmwide Risk


A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

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Srichander Ramaswamy Managing Credit Risk in Corporate Bond Portfolios. A Practitioner's Guide


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Группа авторов Credit Risk Management


The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled. Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management. Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk. Topics covered in this book include: Active credit portfolio management Risk management, pricing, and capital adequacy Capital requirements for banks Approaches to credit risk management Structural models and probability of default Techniques to determine loss given default Derivatives and structured products

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Tomasz Bielecki Credit Risk Frontiers. Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity


A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.

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Allan Malz M. Financial Risk Management. Models, History, and Institutions


Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

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Joel Bessis Risk Management in Banking


Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on time intensity models, implementing risk systems and intensity models of default, it also includes a section on Subprime that discusses the crisis mechanisms and makes numerous references throughout to the recent stressed financial conditions. The book postulates that risk management practices and techniques remain of major importance, if implemented in a sound economic way with proper governance. Risk Management in Banking, Third Edition considers all aspects of risk management emphasizing the need to understand conceptual and implementation issues of risk management and examining the latest techniques and practical issues, including: Asset-Liability Management Risk regulations and accounting standards Market risk models Credit risk models Dependencies modeling Credit portfolio models Capital Allocation Risk-adjusted performance Credit portfolio management Building on the considerable success of this classic work, the third edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors alike.

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Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on time intensity models, implementing risk systems and intensity models of default, it also includes a section on Subprime that discusses the crisis mechanisms and makes numerous references throughout to the recent stressed financial conditions. The book postulates that risk management practices and techniques remain of major importance, if implemented in a sound economic way with proper governance. Risk Management in Banking, Third Edition considers all aspects of risk management emphasizing the need to understand conceptual and implementation issues of risk management and examining the latest techniques and practical issues, including: Asset-Liability Management Risk regulations and accounting standards Market risk models Credit risk models Dependencies modeling Credit portfolio models Capital Allocation Risk-adjusted performance Credit portfolio management Building on the considerable success of this classic work, the third edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors alike.

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