LEADER 00923nam0-22003131i-450- 001 990003019380403321 005 20081219105245.0 010 $a1-56000-149-6 035 $a000301938 035 $aFED01000301938 035 $a(Aleph)000301938FED01 035 $a000301938 100 $a20030910d1995----km-y0itay50------ba 101 0 $aeng 102 $aIT 200 1 $aBiography of an Idea$eJohn Maynard Keynes and the General Theory of Employment, Interest and Money$fDavid Felix 210 $aNew Brunswick$aLondon$ctransaction$d1995 215 $aIX, 285 p.$d23 cm 610 0 $aKeynes, John Maynard$aGeneral Theory 700 1$aFelix,$bDavid$0119398 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990003019380403321 952 $aD/8.11 FEL$b17544$fSES 952 $aXV G[1] 171$b32806*$fFGBC 959 $aSES 959 $aFGBC 996 $aBiography of an Idea$9467509 997 $aUNINA LEADER 05506nam 2200697 a 450 001 9910781765103321 005 20200520144314.0 010 $a1-283-23951-5 010 $a9786613239518 010 $a0-470-97272-6 035 $a(CKB)2550000000045737 035 $a(EBL)699357 035 $a(OCoLC)760884548 035 $a(SSID)ssj0000535475 035 $a(PQKBManifestationID)12179048 035 $a(PQKBTitleCode)TC0000535475 035 $a(PQKBWorkID)10523187 035 $a(PQKB)11737058 035 $a(Au-PeEL)EBL699357 035 $a(CaPaEBR)ebr10494562 035 $a(CaONFJC)MIL323951 035 $a(CaSebORM)9780470689998 035 $a(MiAaPQ)EBC699357 035 $a(PPN)170210448 035 $a(EXLCZ)992550000000045737 100 $a20100805d2010 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCounterparty credit risk$b[electronic resource] $ethe new challenge for global financial markets /$fJon Gregory 205 $a1st edition 210 $aChichester, U.K. $cWiley$dc2010 215 $a1 online resource (450 p.) 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 $a0-470-68999-4 311 $a0-470-68576-X 320 $aIncludes bibliographical references and index. 327 $aCounterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk 327 $a1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players 327 $a2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk 327 $a2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation 327 $a3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting 327 $a3.5 Netting and exposure 330 $aThe first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of c 410 0$aWiley finance series. 606 $aDerivative securities$xMathematical models 606 $aRisk management 615 0$aDerivative securities$xMathematical models. 615 0$aRisk management. 676 $a332.6457 700 $aGregory$b Jon$cPh. D.$0769517 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910781765103321 996 $aCounterparty credit risk$93741184 997 $aUNINA