Counterparty credit risk and credit value adjustment : a continuing challenge for global financial markets / Jon Gregory

Von:

Gregory, Jon, 1971- [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: The Wiley Finance SerVerlag: Hoboken, N.J : Wiley, 2012Copyright-Datum: ©2012Auflage: Second editionBeschreibung: 1 Online-Ressource (455 Seiten)ISBN:

9781283603836
1283603837
9781118316658

Schlagwörter:

Andere physische Formen: 9781118316665 | 9781118316658 | 9781118316641 | 9781118316672 | 1283603713 | Erscheint auch als: 1283603713 Druckausg. | Erscheint auch als: 9781118316672 Druckausg.DDC-Klassifikation:

332.6457
332.64/57 23

RVK: RVK: QK 320LOC-Klassifikation:

HG6024.A3

Online-Ressourcen:

Note: Hinweis: Im Netz der HKA bitte diesen Link verwenden: https://ebookcentral.proquest.com/lib/karlsruhe/detail.action?docID=875919Zusammenfassung: 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.Zusammenfassung: Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets -- Contents -- Acknowledgements -- List of Spreadsheets -- List of Appendices -- 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 Defining 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.PPN: PPN: 809889080Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE

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