rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Counterparty credit risk and credit value adjustment
    sub title: a continuing challenge for global financial markets
  name:
    name part: Gregory, Jon
    name part: 1971-
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: nju
    place:
      place term: Hoboken, N.J
    publisher: Wiley
    date issued: 2012
    edition: 2nd ed.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxii, 455 pages : : illustrations.)
  abstract: Failures of large financial institutions and sovereigns, leading to bankruptcies and dramatic bailouts have thrust counterparty credit risk heavily into the spotlight as the key element of financial risk management. The sudden realisation of extensive counterparty risks has severely compromised the balance sheets of banks globally, the health of global financial markets and state of the general economy. Understanding and managing counterparty risk and CVA (credit value adjustment) has become a key problem for all financial institutions. Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition explains the history of the subject and its emergence as the key financial risk during the global financial crisis. The basics of counterparty risk management, including aspects such as potential future exposure, netting and collateral, are defined. Banks and other financial institutions have been developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products and regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed. The implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. The management of counterparty risk within an institution by a CVA desk is also discussed with the associated portfolio management and hedging of CVA described in full. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. The first edition of this book has become a standard reference on the subject of counterparty credit risk. The second edition has been completely re-writte…
  table of contents: SECTION I INTRODUCTION -- 1. Introduction -- 2. Background -- 2.1. Introduction -- 2.2. Financial risk -- 2.2.1. Market risk -- 2.2.2. Credit risk -- 2.2.3. Liquidity risk -- 2.2.4. Operational risk -- 2.2.5. Integration of risk types -- 2.3. Value-at-Risk -- 2.3.1. Definition -- 2.3.2. The dangers of VAR -- 2.3.3. Models -- 2.3.4. Correlation and dependency -- 2.4. The derivatives market -- 2.4.1. Uses of derivatives -- 2.4.2. Exchange-traded and OTC derivatives -- 2.4.3. Risks of derivatives -- 2.4.4. Too big to fail and systemic risk -- 2.4.5. Credit derivatives -- 2.5. Counterparty risk in context -- 2.5.1. The rise of counterparty risk -- 2.5.2. Counterparty risk and CVA -- 2.5.3. Mitigating counterparty risk -- 2.5.4. Counterparty risk and central clearing -- 2.6. Summary -- 3. Denning Counterparty Credit Risk -- 3.1. Introducing counterparty credit risk -- 3.1.1. Counterparty risk versus lending risk -- 3.1.2. Settlement and pre- settlement risk -- 3.1.3. Exchange-traded derivatives -- 3.1.4. OTC-traded derivatives -- 3.1.5. Repos and securities lending -- 3.1.6. Mitigating counterparty risk -- 3.1.7. Counterparty risk, players -- 3.2. Components and terminology -- 3.2.1. Credit exposure -- 3.2.2. Default probability, credit migration and credit spreads -- 3.2.3. Recovery and loss given default -- 3.2.4. Mark-to-market and replacement cost -- 3.2.5. Mitigating counterparty risk -- 3.3. Control and quantification -- 3.3.1. Credit limits -- 3.3.2. Credit value adjustment -- 3.3.3. CVA or credit limits? -- 3.3.4. What does CVA represent? -- 3.3.5. Hedging counterparty risk -- 3.3.6. Portfolio counterparty risk -- 3.4. Summary -- SECTION II MITIGATION OF COUNTERPARTY CREDIT RISK -- 4. Netting, Compression, Resets and Termination Features -- 4.1. Introduction -- 4.1.1. The origins of counterparty risk -- 4.1.2. The ISDA master agreement -- 4.2. Netting -- 4.2.1. Payment netting -- 4.2.2. The need for closeout netting -- 4.2.3. Closeout netting -- 4.2.4. Netting se…
  table of contents: -- 10.2.5. Contingent credit default swaps -- 10.3. Curve mapping -- 10.3.1. Basics of mapping -- 10.3.2. Indices and classification -- 10.3.3. Curve shape -- 10.4. Portfolio credit derivatives -- 10.4.1. CDS index products -- 10.4.2. Index tranches -- 10.4.3. Super senior risk -- 10.4.4. Collateralised debt obligations -- 10.5. Summary -- 11. Portfolio Counterparty Credit Risk -- 11.1. Introduction -- 11.2. Double default -- 11.2.1. Joint default events -- 11.2.2. Merton-style approach -- 11.2.3. Impact of correlation -- 11.3. Credit portfolio losses -- 11.3.1. Simple two-name example -- 11.3.2. Loss distributions and unexpected loss -- 11.3.3. Example -- 11.3.4. The alpha factor -- 11.3.5. Alpha and wrong-way risk -- 11.4. Summary -- 12. Credit Value Adjustment -- 12.1. Definition of CVA -- 12.1.1. Why pricing CVA is not easy -- 12.1.2. CVA formula -- 12.1.3. CVA as a spread -- 12.2. CVA and exposure -- 12.2.1. Exposure and discounting -- 12.2.2. Risk-neutral exposure -- 12.2.3. CVA semi-analytical methods -- 12.3. Impact of default probability and recovery -- 12.3.1. Credit spread impact
  table of contents: Note continued: 12.3.2. Recovery impact -- 12.4. Pricing new trades using CVA -- 12.4.1. Netting and incremental CVA -- 12.4.2. Marginal CVA -- 12.4.3. CVA as a spread -- 12.4.4. Numerical issues -- 12.4.5. Path dependency, break clauses and exotics -- 12.5. CVA with collateral -- 12.5.1. Impact of margin period of risk -- 12.5.2. Threshold CSAs and independent amounts -- 12.6. Summary -- 13. Debt Value Adjustment -- 13.1. DVA and counterparty risk -- 13.1.1. The need for DVA -- 13.1.2. Bilateral CVA -- 13.1.3. Examples of BCVA -- 13.1.4. Impact of collateral -- 13.1.5. Properties of DVA -- 13.2. The DVA controversy -- 13.2.1. Liability measurement and accounting standards -- 13.3. How to monetise DVA -- 13.3.1. File for bankruptcy -- 13.3.2. Unwinds and novations -- 13.3.3. Closeout -- 13.3.4. Hedging -- 13.3.5. Funding -- 13.4. Further DVA considerations -- 13.4.1. Impact of default correlation -- 13.4.2. DVA and closeout -- 13.5. Summary -- 14. Funding and Valuation -- 14.1. Background -- 14.2. OIS discounting -- 14.2.1. The impact of CSAs -- 14.2.2. OIS and LIBOR rates -- 14.2.3. CSA optionality -- 14.2.4. Central counterparties -- 14.2.5. Methodology -- 14.3. Funding value adjustment -- 14.3.1. The need for FVA -- 14.3.2. The source of funding costs -- 14.3.3. DVA formula -- 14.3.4. Defining the funding rate -- 14.3.5. Examples -- 14.3.6. FVA and DVA -- 14.3.7. The impact of collateral -- 14.4. Optimisation of CVA, DVA and funding costs -- 14.4.1. The spectrum of trading with BCVA and FVA -- 14.4.2. The impact of CSAs -- 14.4.3. Central clearing -- 14.4.4. Optimisation and impact of regulatory capital -- 14.5. Future trends -- 14.5.1. Standard CSA -- 14.5.2. The conversion of CVA into funding liquidity risk -- 14.6. Summary -- 15. Wrong-Way Risk -- 15.1. Introduction -- 15.2. Overview of wrong-way risk -- 15.2.1. Simple example -- 15.2.2. Classic example and empirical evidence -- 15.2.3. Right-way risk and hedging -- 15.2.4. Wrong-way risk challenges -- 15.2.5.…
  note: Jon Gregory.
  note: Revised edition of: Counterparty credit risk. c2010.
  note: Includes bibliographical references (pages 435-441) and index.
  note: Includes bibliographical references and index.
  subject:
    topic: Derivative securities
    topic: Mathematical models
  subject:
    topic: Risk management
  subject:
    topic: Risk Management
  classification: HG6024.A3 G74 2012
  classification: 332.64/57
  related item:
    title info:
      title: Counterparty credit risk
    name:
      name part: Gregory, Jon,
      name part: 1971-
  related item:
    identifier: (DLC) 2012023249
  related item:
    title info:
      title: Wiley finance series
  identifier: 9781118673638 (electronic bk.)
  identifier: 1118673638 (electronic bk.)
  identifier: 9781118316672
  identifier: 1118316673
  identifier: 9781118316658
  identifier: 1118316657
  identifier: 9781118316641
  identifier: 1118316649
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: NhCcYBP
    record creation date: 230502
    record change date: 20260214202408.0
    record identifier: in00004681724
    language of cataloging:
      language term: eng