LEADER 05589nam 2200709Ia 450 001 9910828065203321 005 20200520144314.0 010 $a1-118-67363-8 010 $a1-283-60383-7 010 $a9786613916280 010 $a1-118-31665-7 035 $a(CKB)2670000000246194 035 $a(EBL)875919 035 $a(DLC) 2012025056 035 $a(Au-PeEL)EBL875919 035 $a(CaPaEBR)ebr10602134 035 $a(CaONFJC)MIL391628 035 $a(OCoLC)795909525 035 $a(CaSebORM)9781118316665 035 $a(MiAaPQ)EBC875919 035 $a(PPN)235042455 035 $a(OCoLC)852429379 035 $a(OCoLC)ocn852429379 035 $a(EXLCZ)992670000000246194 100 $a20120618d2012 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aCounterparty credit risk and credit value adjustment $ea continuing challenge for global financial markets /$fJon Gregory 205 $a2nd ed. 210 $aHoboken, NJ $cWiley$d2012 215 $a1 online resource (481 p.) 225 1 $aThe Wiley Finance Series 300 $aRev. ed. of: Counterparty credit risk. c2010. 300 $aIncludes index. 311 $a1-118-31666-5 311 $a1-118-31667-3 320 $aIncludes bibliographical references and index. 327 $aCounterparty 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 327 $a2.4.3 Risks of derivatives2.4.4 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 327 $a3.1.7 Counterparty risk players3.2 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 327 $a4 Netting, Compression, Resets and Termination Features4.1 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 sets and subadditivity; 4.2.5 The impact of netting; 4.2.6 Product coverage; 4.3 Termination features and trade compression; 4.3.1 Reset agreements; 4.3.2 Additional termination events; 4.3.3 Walkaway features; 4.3.4 Trade compression and multilateral netting; 4.4 Conclusion; 5 Collateral; 5.1 Introduction; 5.1.1 Rationale for collateral 327 $a5.1.2 Analogy with mortgages5.1.3 The basics of collateralisation; 5.1.4 Collateral usage; 5.1.5 The credit support annex; 5.1.6 Impact of collateral; 5.2 Collateral terms; 5.2.1 Valuation agent; 5.2.2 Types of collateral; 5.2.3 Coverage of collateralisation; 5.2.4 Disputes and reconciliations; 5.2.5 Margin call frequency; 5.2.6 Haircuts; 5.2.7 Coupons and interest payments; 5.2.8 Substitution, funding costs and rehypothecation; 5.3 Defining the amount of collateral; 5.3.1 Types of CSA; 5.3.2 Linkage of collateral parameters to credit quality; 5.3.3 Threshold; 5.3.4 Independent amount 327 $a5.3.5 Minimum transfer amount and rounding 330 $aA practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way c 410 0$aWiley finance series. 606 $aDerivative securities$xMathematical models 606 $aRisk management 615 0$aDerivative securities$xMathematical models. 615 0$aRisk management. 676 $a332.64/57 700 $aGregory$b Jon$cPh. D.$0769517 701 $aGregory$b Jon$cPh. D.$0769517 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910828065203321 996 $aCounterparty credit risk and credit value adjustment$93941503 997 $aUNINA