"A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon Gregory. Focusing on practical methods, this...

"In 2007, a so-called credit crisis began. This crisis eventually became more severe and long-lasting than could have ever been anticipated. One result of the "global financial crisis" was a clear realisation that banks needed to be subject to much stricter regulation and conservative...

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner 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...

In this article, we discuss the calibration of wrong way risk (WWR) model by using information from the credit default swap (CDS) market. A Quanto CDS provides credit protection against the default of a reference entity but is denominated in a non-domestic currency. The payoff of a Quanto CDS...

A recent trend in pricing counterparty credit risk for OTC derivatives has involved taking into account the bilateral nature of the risk so that an institution would reduce counterparty risk in line with their own default probability. Done to an extreme, this practice has worrying implications...

Intro -- Series -- Title page -- Copyright -- Dedication -- Lists of Spreadsheets -- Lists of Appendices -- Acknowledgements -- About the Author -- 1 Introduction -- 2 The Global Financial Crisis -- 2.1 Pre-crisis -- 2.2 The crisis -- 2.3 Regulatory reform -- 2.4 Backlash and criticisms -- 2.5 A...