Anonymous shelf assessment
Counterparty Credit Risk and Credit Value Adjustment
Shelf score 8.0 / 10
On Counterparty Credit Risk and Credit Value Adjustment · Jon Gregory · John Wiley & Sons
Published 22 March 2026
This text offers a comprehensive examination of counterparty credit risk and Credit Value Adjustment methodologies essential for managing derivatives portfolios.
Overview
In 'Counterparty Credit Risk and Credit Value Adjustment', Jon Gregory explores the critical issues surrounding counterparty credit risk, particularly in the context of derivatives trading. The book provides an overview of the emergence of counterparty risk and its implications for financial institutions, especially following the 2008 financial crisis.
The text delves into various methodologies for calculating Credit Value Adjustment (CVA) and examines portfolio management and hedging strategies. It also discusses the design and benefits of central clearing as a response to counterparty risk challenges. By integrating theoretical frameworks with practical examples, the book equips readers with essential tools for effective risk management.
By area & interest
Methodologies for CVA
The book covers various methodologies for calculating Credit Value Adjustment, providing readers with a solid foundation in this critical aspect of risk management.
Portfolio Management Strategies
Gregory explores intricate portfolio management and hedging strategies, making the text valuable for practitioners involved in derivatives trading.
Central Clearing
The discussion on central clearing highlights recent developments aimed at controlling counterparty risk, an essential topic for financial institutions.
Basis of this assessment
This assessment is based on the catalogue description and Google Books metadata.
Strengths
The book excels in providing a thorough and practical examination of counterparty credit risk and CVA methodologies, making it a valuable resource for professionals looking to enhance their risk management strategies.
Limitations
While comprehensive, the book may not cover the latest developments in counterparty risk management beyond its 2012 publication date, necessitating consultation of more recent literature for the latest practices and regulatory changes.
Ideal reader
This book is best suited for analysts, risk managers, and portfolio managers seeking to deepen their understanding of counterparty credit risk and its management within derivatives portfolios.