Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series)
"Gregory has given us the first fully integrated treatment of counterparty credit risk. He delivers an authoritative and clear explanation of the nature of counterparty risk, as well as its measurement, market valuation, and management. He includes lessons learned from the financial crisis, and coverage of important related business issues, including collateralisation, capital requirements and central clearing. Essentially any risk manager, regulator, policy maker, or scholar concerned with over-the-counter derivatives markets will find this an indispensable guide."—Darrell Duffie, Dean Witter Distinguished Professor of Finance at The 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 can also express himself effectively with words.Counterparty Credit Risk: The New Challenge for Global Financial Marketsprovides a solid exposition of the conceptual and institutional aspects of this complex form of risk. He relies mainly on graphics and examples to illustrate his points, banishing most mathematical formulas to chapter appendices that can safely be skipped by the interested non-specialist. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its public policy implications."—David M. Rowe, EVP for Risk Management, SunGard, Long-time Risk Analysis columnist forRiskmagazine"Congratulations to Jon Gregory. This is a very readable book about an area that has become increasingly important to all financial institutions."—Professor John Hull, Maple Financial Professor of Derivatives and Risk Management,Joseph L. Rotman School of Management, University of Toronto, Canada