The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis.
The book is accompanied by a website which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit. Despite enterprise risk management's relative newness as a recognized business discipline, the marketplace is replete with guides and references for ERM practitioners. Yet, until now, few case studies illustrating ERM in action have appeared in the literature.
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One reason for this is that, until recently, there were many disparate, even conflicting definitions of what, exactly ERM is and, more importantly, how organizations can use it to utmost advantage. With efforts underway, internationally, to mandate ERM and to standardize ERM standards and practices, the need has never been greater for an authoritative resource offering risk management professionals authoritative coverage of the full array of contemporary ERM issues and challenges.
Written by two recognized international thought leaders in the field, ERM-Enterprise Risk Management provides that and much more. Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves.
This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications. Focusing on practical methods, this informative guide includes discussion around the latest regulatory requirements, market practice, and academic thinking.
Beginning with a look at the emergence of counterparty risk during the recent global financial crisis, the discussion delves into the quantification of firm-wide credit exposure and risk mitigation methods, such as netting and collateral.
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The discussion of other aspects such as wrong-way risks, hedging, stress testing, and xVA management within a financial institution are covered. The extensive coverage and detailed treatment of what has become an urgent topic makes this book an invaluable reference for any practitioner, policy maker, or student. Counterparty credit risk and related aspects such as funding, collateral, and capital have become key issues in recent years, now generally characterized by the term 'xVA'.
This book provides practical, in-depth guidance toward all aspects of xVA management. The sudden realization of extensive counterparty risks has severely compromised the health of global financial markets. It's now a major point of action for all financial institutions, which have realized the growing importance of consistent treatment of collateral, funding, and capital alongside counterparty risk.
Vital and indispensable, The Intelligent Investor is the most important book you will ever read on how to reach your financial goals. 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 counterparty risks. In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students. Account Options Sign in. Top charts.
New arrivals. Jon Gregory September 7, The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac.
The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions.
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Dr Jon Gregory is a consultant specialising in the area of counterparty risk. He started his career at Salomon Brothers now Citigroup.
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From to , he worked for BNP Paribas, initially developing the framework for the pricing and management of counterparty risk for the fixed income division and later being part of the rapid growth of the credit derivatives business. He has published many papers in the area of credit risk, recently looking at some of the complex counterparty risk issues in relation to the credit crisis. In , he was co-author of the 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 holds a PhD from Cambridge University. Reviews Review Policy.
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February 25, Date of Publication. Number of Pages. See details. Buy It Now. Add to cart. Be the first to write a review About this product. Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. Principles of Quantitative Development is a practical guide to designing, building and deploying a A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves.
This book starts from A guide to the validation and risk management of quantitative models used for pricing and hedging Toggle navigation. New to eBooks. The Wiley Finance Series. Filter Results. Last 30 days. Last 90 days. All time. English Only. The Wiley Finance Series No. Add to Cart Add to Cart.