Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets (The Wiley Finance Series)

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Product 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.

Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets (The Wiley Finance Series) Review

I have the previous edition of this book, but given that it has been expanded and 'fine' tuned, I will place this here as well.
The book gives you an excellent overview of industry-relevant and important topics in credit risk. The book is well written, never obscure or unclear; rather it explains complex concepts in an easy-to-understand manner. This book includes spreadsheets with examples covered in the book, which is especially helpful as you can go about changing values and parameters and so forth to get a feeling for what happens, and how that relates to what you read in the text. Moreover, I sent an e-mail to Jon Gregory [the author] asking whether I could receive an unlocked copy of the spreadsheets (so that I could change inputs and so forth). He e-mailed me back within a few days, with a nice message and included the unlocked spreadsheets. Excellent follow-up on the part of the author, and it makes you feel that he truly wants you to learn and get the most out of his book.

Quality and relevance of content: 5 stars
Clarity of writing: 5 stars
Support from author: 5 stars

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