By Jon Gregory(auth.)

A sensible consultant to counterparty chance administration and credits price adjustment from a number one credits practitioner

Since the cave in of Lehman Brothers and the consequent consciousness of in depth counterparty danger around the worldwide monetary markets, the topic of counterparty probability has develop into an unavoidable factor for each bank. This ebook explains the emergence of counterparty possibility and the way monetary associations are constructing functions for valuing it. It additionally covers portfolio administration and hedging of credits price adjustment, debit worth adjustment, and wrong-way counterparty dangers. furthermore, the ebook addresses the layout and advantages of imperative clearing, a contemporary improvement in makes an attempt to regulate the quick development of counterparty chance. This uniquely useful source serves as a useful advisor for marketplace practitioners, coverage makers, lecturers, and students.Content:
Chapter 1 creation (pages 3–8):
Chapter 2 heritage (pages 9–20):
Chapter three Defining Counterparty credits danger (pages 21–40):
Chapter four Netting, Compression, Resets and Termination positive factors (pages 45–57):
Chapter five Collateral (pages 59–77):
Chapter 6 Default distant Entities and the Too sizeable to Fail challenge (pages 79–96):
Chapter 7 vital Counterparties (pages 97–119):
Chapter eight credits publicity (pages 121–153):
Chapter nine Quantifying credits publicity (pages 157–195):
Chapter 10 Default likelihood, credits Spreads and credits Derivatives (pages 197–224):
Chapter eleven Portfolio Counterparty credits possibility (pages 225–240):
Chapter 12 credits price Adjustment (pages 241–263):
Chapter thirteen Debt worth Adjustment (pages 265–281):
Chapter 14 investment and Valuation (pages 283–306):
Chapter 15 Wrong?Way probability (pages 307–338):
Chapter sixteen Hedging Counterparty hazard (pages 341–369):
Chapter 17 law and Capital requisites (pages 371–402):
Chapter 18 coping with CVA – The “CVA table” (pages 403–425):
Chapter 19 the way forward for Counterparty hazard (pages 427–433):

Show description

Read Online or Download Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition PDF

Best nonfiction_9 books

Microbial Sediments

Microbes are of key significance within the creation, deposition and diagenesis of sediments. This quantity presents a entire evaluate of microbial sediments. It comprises authoritative and stimulating contributions by means of special authors that hide the sector and set the scene for destiny advances. It bargains with mats and biofilms, biosedimentary precipitates, materials and diagenesis in quite a lot of sedimentary environments, and it examines the advance of microbial sediments via time.

Electrical Installation Calculations: For compliance with BS 7671: 2001 (The Wiring Regulations), Third Edition

This ebook presents counsel on the best way to perform the calculations required for circuit designs in compliance with the Wiring rules. it's been up to date to take account of adjustments brought by way of BS 7671 : 2001 and modification 1 to the traditional which integrated a brand new desk of current-carrying capacities.

Modeling the Wireless Propagation Channel

A pragmatic software for propagation channel modeling with MATLAB® simulations. Many books on instant propagation channel supply a hugely theoretical insurance, which for a few readers, can be tricky to stick to. This ebook takes a truly useful technique by way of introducing the speculation in every one bankruptcy first, after which conducting simulations exhibiting how precisely placed the idea into perform.

People and Space: New Forms of Interaction in the City Project

This ebook explores new types and modalities of kinfolk among humans and area that more and more have an effect on the lifetime of the town. The research takes as its place to begin the concept that in modern societies the lack of our dating with position is a symptom of a breakdown within the dating among ethics and aesthetics.

Additional info for Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition

Example text

This means that the buyer may liquidate the securities in order to recover the cash lent. There is a risk that the securities may have lost value due to market movements and not cover this amount. To mitigate this risk, repos are often overcollateralised (via the haircut) as well as being subject to daily mark-to-market margining. Hence, the residual risk is essentially a “gap risk” in that the market moves quickly or “gaps” in a short space of time prior to the default of the seller. Conversely, if the value of the security rises, the borrower in a repo transaction may experience credit risk.

A repo is essentially a loan with collateral taken against it to mitigate the otherwise substantial credit risk. However, some residual counterparty risk will remain. The seller of securities may default by failing to repurchase them at the maturity date. This means that the buyer may liquidate the securities in order to recover the cash lent. There is a risk that the securities may have lost value due to market movements and not cover this amount. To mitigate this risk, repos are often overcollateralised (via the haircut) as well as being subject to daily mark-to-market margining.

Market risk can be eliminated by entering into an offsetting contract. However, unless this is done with the same counterparty as the original position(s), then counterparty risk will be generated. If the counterparties to offsetting contracts differ, and either counterparty fails, then the position is no longer neutral. Market risk therefore forms a component of counterparty risk. 2 Credit risk Credit risk is the risk that a debtor may be unable or unwilling to make a payment or fulfil contractual obligations.

Download PDF sample

Rated 4.58 of 5 – based on 13 votes