Today's blog post will be a short review of the book
Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets – Second Edition by Jon Gregory
I have been working on the xVA topic now for almost two years and this book guided me for most of this time. The author Jon Gregory is the acknowledged global expert on counterparty credit risk.
The book starts with explaining the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. Aspects of portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks are also covered. 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. The book offers many practical examples, including experiences from the recent credit crisis.
Without using too much complicated Mathematics Gregory is able to explain also complex interrelations. I can really recommend this book to everybody interested in the topic.