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TitleCounterparty credit risk and credit value adjustment : a continuing challenge for global financial markets
Author Jon Gregory
Imprint Hoboken, N.J. : Wiley, 2012
Edition 2nd ed
Descript xxii, 457 p. : ill. ; 24 cm.

CONTENT

Introduction -- Background -- Defining counterparty credit risk -- Netting, compression, resets and termination features -- Collateral -- Default remote entities and the too big to fail problem -- Central counterparties -- Credit exposure -- Quantifying credit exposure -- Default probability, credit spreads and credit derivatives -- Portfolio counterparty credit risk -- Credit value adjustment -- Default probability , credit spreads and credit derivatives -- Portfolio counterparty credit risk -- Credit value adjustment -- Debt value adjustment -- Funding and valuation -- Wrong-way risk -- Hedging counterparty risk -- Regulation and capital requirements -- Managing CVA-The "CVA Desk" -- The future of counterparty risk


Derivative securities -- Mathematical models Risk management

LOCATIONCALL#STATUS
Chula Business School Library332.6457 G822C 2012CHECK SHELVES

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