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Chukchi
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

December 5th, 2009, 2:34 am

Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series)by Jon Gregory Hardcover: 448 pages Publisher: Wiley (February 15, 2010)ISBN-10: 047068576X FinMath.com
 
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Amb
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

December 30th, 2009, 3:58 pm

Any comments about this book, guys?I am also wondering whether someone has read the book 'Counterparty Credit Risk Modeling' edited by M. Pykhtin and could give a comparative view of these two books.Thanks in advance,Amb
 
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drcurious
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

September 25th, 2014, 9:44 pm

Hello,Can someone please answer the question?Thanks!
 
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studenttt
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

September 25th, 2014, 11:38 pm

Yes. I read this book. It's not a new book, I had it a few years ago. This book is the best introduction for Credit Risks. It has some maths and proofs, but really not much and certainly at a level that any quant can handle easily. The book describes a lots of useful concepts, such as netting, potential-future-exposure, CVA and most importantly why only the positive exposure matters. It's an introduction book. Highly recommended.
Last edited by studenttt on September 27th, 2014, 10:00 pm, edited 1 time in total.
 
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ishakh
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 12th, 2015, 8:11 pm

I have read parts of Jon Gregory's book. It's quite well-written, although it has some typos. I personally prefer it to Pykhtin's (which I believe is a Risk book, with chapters by various authors) because the former covers many more topics, and discusses open issues in a much more "practitioner-focussed" manner. That said, since Gregory's book was written, furhter work has been done on the topic of FVA, and other XVAs, and a third edition (with corrections) would be nice! I also think that CCPs could be included into one book on counterparty an funding risk (instead of a second one) :-)
 
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tagoma
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 12th, 2015, 8:21 pm

QuoteOriginally posted by: ishakhI have read parts of Jon Gregory's book. It's quite well-written, although it has some typos. I personally prefer it to Pykhtin's (which I believe is a Risk book, with chapters by various authors) because the former covers many more topics, and discusses open issues in a much more "practitioner-focussed" manner. That said, since Gregory's book was written, furhter work has been done on the topic of FVA, and other XVAs, and a third edition (with corrections) would be nice! I also think that CCPs could be included into one book on counterparty an funding risk (instead of a second one) :-)Why asking in another subforum if you know the book?[your other message few seconds before this oneQuoteOriginally posted by: ishakhHi,How well has this book been received, and would folks recommend it? Given the bakground of the author, I imagine quite well.. but just wanted to know if this was a go-to book where one could find all relevant CCP topics.. (instead of having to find info via google!).Thanks
Last edited by tagoma on February 11th, 2015, 11:00 pm, edited 1 time in total.
 
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ishakh
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 12th, 2015, 8:42 pm

Just to clarify - I was asking about the book on Central Counterparties (which I have not read) in the other thread. I have read this book (and parts of the one by Pykhtin), and so wanted to try and answer the question posed by Amb..
 
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tagoma
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 12th, 2015, 8:49 pm

QuoteOriginally posted by: ishakhJust to clarify - I was asking about the book on Central Counterparties (which I have not read) in the other thread. I have read this book (and parts of the one by Pykhtin), and so wanted to try and answer the question posed by Amb..I messed up. Sorry.
 
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Samsaveel
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New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 18th, 2015, 3:48 pm

it is an excellent read on credit risk,if you are sitting in an FO environment coding up simulation models to quantifyCCP risk for TB ,then have a look at "Modelling, Pricing, and Hedging Counterparty risk "by Giovanni Cesari,it is more mathematically rigorous.on the other hand if you are a quant and want to get a deep understanding of the business side associated with CCP risk modelling,this is the book.when you are working in a financial institution who is in the process of beefing up thier CCP risk models ,the models and the mathematics is just one inputto the decision process ,and not a lot of Sr people will waste their time on the low level modelling side,they want a global risk picture that is as close as possible to realityunder non-normal market conditions,i guess it always boils down to the central limit theorem when looking at aggregated risk exposures :)
 
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ishakh
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Joined: March 20th, 2011, 12:38 am

New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

February 19th, 2015, 3:07 pm

Thanks for your comments on the book by Jon Gregory on Central Counterparties. If I read correctly, it seems to be an excellent book of the business side of CCP risk modeling (albeit less quantatitvely rigorous as Cesari's book), but does not provide enough of a risk picture for senior risk managers? I quickly scanned the contents and it seemed like the book does talk about issues that are of interest to risk managers, not just front office folks. Is my assessment totally off the mark?Thanks.
 
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quartz
Posts: 424
Joined: June 28th, 2005, 12:33 pm

New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

October 5th, 2015, 3:29 pm

QuoteOriginally posted by: ishakhI have read parts of Jon Gregory's book. It's quite well-written, although it has some typos. I personally prefer it to Pykhtin's (which I believe is a Risk book, with chapters by various authors) because the former covers many more topics, and discusses open issues in a much more "practitioner-focussed" manner. That said, since Gregory's book was written, furhter work has been done on the topic of FVA, and other XVAs, and a third edition (with corrections) would be nice! I also think that CCPs could be included into one book on counterparty an funding risk (instead of a second one) :-)The third edition with XVA is out.Can anyone comment on the additions and changes? Is there a subscription?And how does it compare to Ruiz' XVA Desks - A New Era for Risk Management?'
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