The book will be a complete guide to the area of counterparty credit risk (CCR). It will present a thorough description of this subject for readers familiar with basic financial markets. The implications and issues arising from the credit crisis will be a particular focus and specific relevant events (Lehman Brothers, Bear Stearns) will be discussed. The book will cover all important areas peripheral to counterparty credit risk such as collateral management, liquidity and credit derivatives. Mathematical aspects (pricing) will be covered but the aim is to keep these concepts as simple as possible and separate any complex formulas from the main text in Appendices. The book will begin with a definition of CCR, looking at the main concepts and setting the stage for the rest of the book. It then moves on to examine CCR in the risk organization, from the trading desk, through market, credit portfolio risk management, and collateral management, before moving on to show how you can model counterparty credit exposure. The book then concentrates on pricing and hedging CCR, and looking at from an economic capital and Basel II perspective and looks finally at managing counterparty credit risk. The author also goes on to look at the future of CCR, in particular the central clearing issues and challenges of the future. Table of Contents Defining Counterparty Credit Risk (CCR) CCR Management Practice Mitigating CCR Modelling Counterparty Credit Exposures Overview of Credit Risk CCR Pricing I CCR Pricing II Hedging CCR CCR – Portfolio Models and Economic Capital CCR and Basel II Managing Counterparty Credit Risk The Future of CCR
Book Details:
- Author: Jon Gregory
- ISBN: 9780470689974
- Year Published: 2010
- Pages: 448
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
The book will be a complete guide to the area of counterparty credit risk (CCR). It will present a thorough description of this subject for readers familiar with basic financial markets. The implications and issues arising from the credit crisis will be a particular focus and specific relevant events (Lehman Brothers, Bear Stearns) will be discussed. The book will cover all important areas peripheral to counterparty credit risk such as collateral management, liquidity and credit derivatives. Mathematical aspects (pricing) will be covered but the aim is to keep these concepts as simple as possible and separate any complex formulas from the main text in Appendices. The book will begin with a definition of CCR, looking at the main concepts and setting the stage for the rest of the book. It then moves on to examine CCR in the risk organization, from the trading desk, through market, credit portfolio risk management, and collateral management, before moving on to show how you can model counterparty credit exposure. The book then concentrates on pricing and hedging CCR, and looking at from an economic capital and Basel II perspective and looks finally at managing counterparty credit risk. The author also goes on to look at the future of CCR, in particular the central clearing issues and challenges of the future. Table of Contents Defining Counterparty Credit Risk (CCR) CCR Management Practice Mitigating CCR Modelling Counterparty Credit Exposures Overview of Credit Risk CCR Pricing I CCR Pricing II Hedging CCR CCR – Portfolio Models and Economic Capital CCR and Basel II Managing Counterparty Credit Risk The Future of CCR
Counterparty risk is the risk to a party in a financial transaction that the counterparty will not live up to its contractual obligations and default. Counterparty credit risk has been a key theme of the credit crisis and an area that has gaining significantly in interest over the last 18 months. Previously a subject of concern mainly for the large banks, it is now a matter of interest to all banks and many financial institutions. The high profile default of Lehman and Bear Stearns together with the high profile bail-outs of institutions such as AIG have been a violent reminder that the subject is not to be ignored.
AUTHOR EXPERTISE – Jon Gregory is widely acknowledged as a leading practitioner and researcher in credit risk and credit derivatives. Along with Schönbucher (Credit Derivatives, 2003, 0470842911, Global Sales 8119) he is counted as one of pioneers of the credit area. HOT TOPIC – the high profile defaults of banks and financial institutions over the last 18 months has revealed the huge knock-on effects which counterparty credit failure can have in financial markets HIGHLY PRACTICAL – avoids unnecessary pricing formulas which deter much of the important risk management community. Will be a highly practical guidebook for anyone who needs to understand and manage counterparty credit risk
About the Author
Jon Gregory (London, UK) is an independent trainer and consultant in the areas of credit derivatives, credit risk and counterparty risk management. His clients include a number of banks, and other financial institutions including hedge funds and energy companies. He is also Visiting Lecturer at Cambridge University and the ICMA Centre, University of Reading. Previously he was Head of Quantitative Analytics at Barclays Capital, and before this, was global head of the research team for credit trading and derivatives at BNP Paribas, and before that, the fixed income division at Salamon Brothers. He is a regular speaker at industry conferences and training including Risk Training, WBS Annual Conference, Moneyscience Training. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the bestselling book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.