Read e-book online Counterparty Credit Risk: The new challenge for global PDF

By Jon Gregory

ISBN-10: 047068576X

ISBN-13: 9780470685761

the 1st decade of the twenty first Century has been disastrous for monetary associations, derivatives and hazard administration. Counterparty credits threat has develop into the main component of monetary chance administration, highlighted through the financial disaster of the funding financial institution Lehman Brothers and failure of alternative excessive profile associations equivalent to endure Sterns, AIG, Fannie Mae and Freddie Mac. The unexpected realisation of intensive counterparty hazards has critically compromised the well-being of worldwide monetary markets. Counterparty probability is now a key challenge for all monetary associations.

This ebook explains the emergence of counterparty probability in the course of the fresh credits hindrance. The quantification of firm-wide credits publicity for buying and selling desks and companies is mentioned along threat mitigation tools equivalent to netting and collateral administration (margining). Banks and different monetary associations were lately constructing their services for pricing counterparty chance and those parts are thought of intimately through a characterisation of credits worth adjustment (CVA). the results of an establishment valuing their very own default through debt price adjustment (DVA) also are thought of at size. Hedging facets, including the linked tools reminiscent of credits defaults swaps (CDSs) and contingent CDS (CCDS) are defined in full.

A key characteristic of the credits drawback has been the realisation of wrong-way dangers illustrated by way of the failure of monoline insurance firms. Wrong-way counterparty hazards are addressed intimately when it comes to rate of interest, foreign currency, commodity and, specifically, credits spinoff items. Portfolio counterparty probability is roofed, including the regulatory features as outlined via the Basel II capital necessities. The administration of counterparty danger inside an establishment is additionally mentioned intimately. ultimately, the layout and merits of relevant clearing, a up to date improvement to try to regulate the speedy progress of counterparty hazard, is considered.

This ebook is exclusive in being virtually centred but in addition protecting the extra technical facets. it truly is a useful entire reference consultant for any industry practitioner with any accountability or curiosity in the zone of counterparty credits risk.

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Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series) by Jon Gregory

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