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Books on the topic 'Counterparty risks'

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Author: Grafiati

Published: 10 December 2022

Last updated: 29 January 2023

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1

Brigo, Damiano, Massimo Morini, and Andrea Pallavicini. Counterparty Credit Risk, Collateral and Funding. Chichester, UK: John Wiley & Sons, Ltd, 2013. http://dx.doi.org/10.1002/9781118818589.

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2

Gregory, Jon. Counterparty Credit Risk and Credit Value Adjustment. Oxford, UK: John Wiley & Sons Ltd, 2012. http://dx.doi.org/10.1002/9781118673638.

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3

Acharya, Viral V. Counterparty risk externality: Centralized versus over-the-counter markets. Cambridge, MA: National Bureau of Economic Research, 2011.

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4

The risk controllers: Central counterparty clearing in globalised financial markets. Chichester, West Sussex, U.K: Wiley, 2011.

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5

Counterparty credit risk: The new challenge for global financial markets. Chichester, West Sussex: Wiley, 2010.

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6

Bomfim, Antúlio N. Counterparty credit risk in interest rate swaps during times of market stress. Washington, D.C: Federal Reserve Board, 2003.

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7

White, Eugene N. The crash of 1882, counterparty risk, and the bailout of the Paris Bourse. Cambridge, Mass: National Bureau of Economic Research, 2007.

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8

Modelling, pricing, and hedging counterparty credit exposure: A technical guide. Heidelberg: Springer, 2009.

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9

Jon, Gregory. Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets. 2nd ed. Hoboken, N.J: Wiley, 2012.

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10

Riva, Angelo. Danger on the exchange: How counterparty risk was managed on the Paris Bourse in the nineteenth century. Cambridge, MA: National Bureau of Economic Research, 2010.

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11

Bin, Li, ed. Quantitative analysis, derivatives modeling, and trading strategies: In the presence of counterparty credit risk for fixed-income market. Singapore: World Scientific Pub., 2007.

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12

Tang, Yi. Quantitative analysis, derivatives modeling, and trading strategies: In the presence of counterparty credit risk for the fixed-income market. Singapore: World Scientific Pub., 2007.

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13

Counterparty Risk Management Policy Group report: Hearing before the Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises of the Committee on Banking and Financial Services, U.S. House of Representatives, One Hundred Sixth Congress, first session, June 24, 1999. Washington: U.S. G.P.O., 1999.

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14

Bufalo, Michele, Henry Penikas, Concetta Zurlo, and Giuseppe Orlando. Modern Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks. World Scientific Publishing Co Pte Ltd, 2022.

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15

John, Dewar, and Taufatofua Chris. 5 Allocation of Risks in Project Documentation. Oxford University Press, 2015. http://dx.doi.org/10.1093/law/9780198715559.003.0006.

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Achieving the optimal risk allocation in the project document structure is critical to the successful delivery of any project. This chapter outlines the key considerations that help determine how the project risks are typically approached in the context of the key project documents, including concession agreements, construction contracts, offtake agreements, feedstock supply agreements, and operation and maintenance agreements. Particular focus is given to the need to achieve a project document structure and risk allocation that is ‘bankable’, while emphasizing the importance of a risk allocation that strikes a balance between (i) identifying the most appropriate counterparty to manage a particular risk as well as (ii) ensuring such counterparty is appropriately incentivized to manage such risk.

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16

Simon, Gleeson. Part III Investment Banking, 12 The Trading Book. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0012.

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This chapter begins by discussing market risk in the Basel framework. Market risk was a relative latecomer to the Basel framework. Although the original Accord was signed in 1988, it was only in 1996 that the amendment to incorporate market risks was implemented. Market risk in the trading book is comprised of two significant components: position risk, which measures the risk of a change in the value of assets held; and counterparty credit risk, which measures the riskiness of counterparties to derivatives, options, and other trading positions. The remainder of the chapter covers trading book eligibility under Basel 2.5 and Basel 3.

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17

Gregory, Jon. Counterparty Credit Risk. Wiley & Sons, Incorporated, John, 2011.

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18

Simon, Gleeson. Part III Investment Banking, 17 Derivatives, Clearing, and Exposures to CCPs. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0017.

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This chapter discusses requirements for derivatives, clearing and exposures to CCPs. In September 2009, as one of the primary policy responses to the crisis, G20 leaders at the Pittsburgh summit decided to promote central clearing of derivatives, and legislation is now in place to provide a framework for compelling banks to do this. However, clearing increases the risk exposures of banks providing that clearing service, since the bank retains the risks arising from the original derivative transaction, and adds to them any risks arising from the clearing process. In general, a bank will measure its derivative exposures using one of three methods: the Internal Model Method; the Standardized Method; or the Current Exposure Method. The risk weight is that which applies to the counterparty under the Standardized Approach (SA) or internal ratings-based approach for credit risk. However, these approaches will be replaced by the SA-CCR under Basel 3.

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19

Crépey, Stéphane, Tomasz R. Bielecki, and Damiano Brigo. Counterparty Risk and Funding. Chapman and Hall/CRC, 2014. http://dx.doi.org/10.1201/9781315373621.

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20

Counterparty Risk and Funding. Chapman and Hall/CRC, 2014. http://dx.doi.org/10.1201/b16838.

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21

Brigo, Damiano, Tomasz R. Bielecki, and Stéphane Crépey. Counterparty Risk and Funding. Taylor & Francis Group, 2020.

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22

Gregory, Jon. Counterparty Risk in Credit Derivative Contracts. Oxford University Press, 2011. http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0011.

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23

Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation. Risk Books, 2005.

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24

Simon, Gleeson. Part III Investment Banking, 16 Counterparty Risk. Oxford University Press, 2012. http://dx.doi.org/10.1093/law/9780199643981.003.0016.

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25

Gregory, Jon. Counterparty Credit Risk and Credit Value Adjustment. Wiley & Sons, Incorporated, John, 2012.

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26

Simmons, Michael. Collateral Management: A Guide to Mitigating Counterparty Risk. Wiley & Sons, Incorporated, John, 2019.

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27

Counterparty Credit Risk and Hybrid Models Wiley Finance. John Wiley & Sons, 2012.

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28

Simmons, Michael. Collateral Management: A Guide to Mitigating Counterparty Risk. Wiley & Sons, Incorporated, John, 2019.

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29

Collateral Management: A Guide to Mitigating Counterparty Risk. Wiley & Sons, Limited, John, 2019.

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30

Settlements, Bank for International, Committee on Payment and Settlement Systems., and Group of Ten. Euro-currency Standing Committee., eds. OTC derivatives: Settlement procedures and counterparty risk management. Basle: Bank for International Settlements, 1998.

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31

Simmons, Michael. Collateral Management: A Guide to Mitigating Counterparty Risk. Wiley & Sons, Incorporated, John, 2019.

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32

XVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital. Wiley & Sons, Limited, John, 2015.

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33

Corporation, Standard and Poor's, ed. Financial institutions rating service: Counterparty risk ratings special report. New York: Standard & Poor's, 1994.

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34

Gregory, Jon. XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Wiley & Sons, Limited, John, 2015.

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35

Basurto, Miguel A. Segoviano, and Manmohan Singh. Counterparty Risk in the over-The-Counter Derivatives Market. International Monetary Fund, 2008.

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36

Counterparty Risk And Funding A Tale Of Two Puzzles. Taylor & Francis Inc, 2014.

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37

Gregory, Jon. XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Wiley & Sons, Incorporated, John, 2015.

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38

Brigo, Damiano, Tomasz R. Bielecki, and Stéphane Crépey. Counterparty Risk and Funding: A Tale of Two Puzzles. Taylor & Francis Group, 2014.

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39

Brigo, Damiano, Tomasz R. Bielecki, and Stéphane Crépey. Counterparty Risk and Funding: A Tale of Two Puzzles. Taylor & Francis Group, 2014.

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40

Gregory, Jon. XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Wiley & Sons, Incorporated, John, 2015.

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41

Brigo, Damiano, Tomasz R. Bielecki, and Stéphane Crépey. Counterparty Risk and Funding: A Tale of Two Puzzles. Taylor & Francis Group, 2014.

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42

Basurto, Miguel A. Segoviano, and Manmohan Singh. Counterparty Risk in the over-The-Counter Derivatives Market. International Monetary Fund, 2008.

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43

Norman, Peter. Risk Controllers: Central Counterparty Clearing in Globalised Financial Markets. Wiley & Sons, Incorporated, John, 2011.

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44

Basurto, Miguel A. Segoviano, and Manmohan Singh. Counterparty Risk in the over-The-Counter Derivatives Market. International Monetary Fund, 2008.

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45

Norman, Peter. Risk Controllers: Central Counterparty Clearing in Globalised Financial Markets. Wiley & Sons, Limited, John, 2015.

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46

Gregory, Jon. Counterparty Credit Risk: The New Challenge for Global Financial Markets. Wiley & Sons, Incorporated, John, 2011.

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47

Gregory, Jon. Counterparty Credit Risk: The New Challenge for Global Financial Markets. Wiley & Sons, Incorporated, John, 2011.

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48

Gregory, Jon. Counterparty Credit Risk: The New Challenge for Global Financial Markets. Wiley & Sons, Incorporated, John, 2011.

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49

Gregory, Jon. XVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin. Wiley & Sons, Incorporated, John, 2020.

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50

Gregory, Jon. XVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin. Wiley & Sons, Limited, John, 2020.

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