Counterparty Credit Risk and Credit Value Adjustment

Counterparty credit risk and credit value adjustment Jon Gregory is the acknowledged global expert on counterparty credit risk. This new edition of his definitive treatment of the subject, fully updated and expanded, will remain the go-to source on counterparty risk management and valuation. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators.-Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University Jon Gregory is an all too rare individual, a state-of-the-art quant who knows the limits of mathematical analysis and who also can express himself effectively with words. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to online appendices that will be needed only by those with strong mathematical interest. The second edition provides a timely update with revised or expanded discussion of topics that have received particular attention in finance and public policy circles over the past two years. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.-David M. Rowe, President, David M. Rowe Risk Advisory and Long-time Risk Analysis Columnist, Risk Magazine It is great to see a timely and extensive update to what has quickly become a classic text in a rapidly evolving field of counterparty credit risk.-Vladimir V. Piterbarg, Global Head of Quantitative Analytics, Barclays Much has happened in financial markets since the first edition of Counterparty Credit Risk was published. With the second edition Jon Gregory brings the reader right up to date. Most of the material has been rewritten or expanded. The book will continue to be essential reading for anyone who works in derivatives.-Professor John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto Utmost important topic covered by one of the best experts in the field. A must read for everybody in the financial industry dealing with counterparty risk.-Wim Schoutens, Research Professor, University of Leuven Jon Gregory provides a comprehensive treatment of counterparty risk, including centralized clearing. His exposition is clear and accessible, which is remarkable given the complexity of the topic. There are many practical examples, including experiences from the recent credit crisis. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk.-Stuart M. Turnbull, Bauer Chaired Professor, Bauer College of Business