Book description
A practical guide to counterparty risk management and credit value
adjustment from a leading credit practitioner
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.
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
finance and is a regular speaker at international conferences. He was
a co-author of the book Credit: A Complete Guide to Pricing,
Hedging and Risk Management, nominated in 2001 for the
Kulp-Wright award for the most significant text in risk management and
insurance. He is currently a partner at Solum Financial based in
London and advises a number of banks on their counterparty risk and
CVA practices. He holds a PhD from Cambridge University.
