Counterparty credit risk and credit value adjustment : (Record no. 643551)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 07082cam a2200925 a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250919132328.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr |n||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190918s2012 nju ob 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| LC control number | 2012-025056 |
| 016 7# - NATIONAL BIBLIOGRAPHIC AGENCY CONTROL NUMBER | |
| Record control number | 016082245 |
| Source | Uk |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118316641 |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118316649 |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118316658 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118316657 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118316665 |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118316665 |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118673638 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118673638 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781118316672 |
| Qualifying information | (cloth) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 1118316673 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000049549048 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000052907994 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | CHNEW |
| System control number | 000622569 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV040869942 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV042744380 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 397258968 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 449291200 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DKDLA |
| System control number | 820120-katalog:000600255 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | NZ1 |
| System control number | 14976688 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV043394614 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)795909525 |
| Canceled/invalid control number | (OCoLC)820621437 |
| -- | (OCoLC)852429379 |
| -- | (OCoLC)870670370 |
| -- | (OCoLC)880888936 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)ocn795909525 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | CL0500000236 |
| Source of stock number/acquisition | Safari Books Online |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | EFA78074-361F-4656-BE13-8328C8BD3CE5 |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 039 #9 - LEVEL OF BIBLIOGRAPHIC CONTROL AND CODING DETAIL [OBSOLETE] | |
| Level of rules in bibliographic description | 201911011503 |
| Level of effort used to assign nonsubject heading access points | emilda |
| y | 09-18-2019 |
| z | hafiz |
| w | UKM UBCM Wiley MARC (363 titles).mrc |
| x | 169 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DLC |
| Language of cataloging | eng |
| Description conventions | pn |
| Transcribing agency | DLC |
| Modifying agency | YDX |
| -- | NST |
| -- | UKMGB |
| -- | YDXCP |
| -- | MHW |
| -- | E7B |
| -- | EBLCP |
| -- | CDX |
| -- | B24X7 |
| -- | DG1 |
| -- | STF |
| -- | UMI |
| -- | UBY |
| -- | TEFOD |
| -- | OCLCF |
| -- | DEBSZ |
| -- | MBB |
| -- | UKDOC |
| -- | AU@ |
| -- | S9I |
| -- | OCLCA |
| -- | TEFOD |
| -- | OCLCQ |
| -- | COO |
| -- | OCLCQ |
| -- | DEBBG |
| -- | LOA |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG6024.A3 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 036000 |
| Source | bisacsh |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.64/57 |
| Edition information | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Gregory, Jon, |
| Dates associated with a name | 1971- |
| 245 10 - TITLE STATEMENT | |
| Title | Counterparty credit risk and credit value adjustment : |
| Remainder of title | a continuing challenge for global financial markets / |
| Statement of responsibility, etc. | Jon Gregory. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 2nd ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Hoboken, N.J. : |
| Name of producer, publisher, distributor, manufacturer | Wiley, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley finance |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Appendices; SECTION I: INTRODUCTION; 1 Introduction; 2 Background; 2.1 Introduction; 2.2 Financial risk; 2.2.1 Market risk; 2.2.2 Credit risk; 2.2.3 Liquidity risk; 2.2.4 Operational risk; 2.2.5 Integration of risk types; 2.3 Value-at-Risk; 2.3.1 Definition; 2.3.2 The dangers of VAR; 2.3.3 Models; 2.3.4 Correlation and dependency; 2.4 The derivatives market; 2.4.1 Uses of derivatives; 2.4.2 Exchange-traded and OTC derivatives. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 2.4.3 Risks of derivatives2.4.4 Too big to fail and systemic risk; 2.4.5 Credit derivatives; 2.5 Counterparty risk in context; 2.5.1 The rise of counterparty risk; 2.5.2 Counterparty risk and CVA; 2.5.3 Mitigating counterparty risk; 2.5.4 Counterparty risk and central clearing; 2.6 Summary; 3 Defining Counterparty Credit Risk; 3.1 Introducing counterparty credit risk; 3.1.1 Counterparty risk versus lending risk; 3.1.2 Settlement and pre-settlement risk; 3.1.3 Exchange-traded derivatives; 3.1.4 OTC-traded derivatives; 3.1.5 Repos and securities lending; 3.1.6 Mitigating counterparty risk. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.1.7 Counterparty risk players3.2 Components and terminology; 3.2.1 Credit exposure; 3.2.2 Default probability, credit migration and credit spreads; 3.2.3 Recovery and loss given default; 3.2.4 Mark-to-market and replacement cost; 3.2.5 Mitigating counterparty risk; 3.3 Control and quantification; 3.3.1 Credit limits; 3.3.2 Credit value adjustment; 3.3.3 CVA or credit limits?; 3.3.4 What does CVA represent?; 3.3.5 Hedging counterparty risk; 3.3.6 Portfolio counterparty risk; 3.4 Summary; SECTION II: MITIGATION OF COUNTERPARTY CREDIT RISK. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 4 Netting, Compression, Resets and Termination Features4.1 Introduction; 4.1.1 The origins of counterparty risk; 4.1.2 The ISDA master agreement; 4.2 Netting; 4.2.1 Payment netting; 4.2.2 The need for closeout netting; 4.2.3 Closeout netting; 4.2.4 Netting sets and subadditivity; 4.2.5 The impact of netting; 4.2.6 Product coverage; 4.3 Termination features and trade compression; 4.3.1 Reset agreements; 4.3.2 Additional termination events; 4.3.3 Walkaway features; 4.3.4 Trade compression and multilateral netting; 4.4 Conclusion; 5 Collateral; 5.1 Introduction; 5.1.1 Rationale for collateral. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 5.1.2 Analogy with mortgages5.1.3 The basics of collateralisation; 5.1.4 Collateral usage; 5.1.5 The credit support annex; 5.1.6 Impact of collateral; 5.2 Collateral terms; 5.2.1 Valuation agent; 5.2.2 Types of collateral; 5.2.3 Coverage of collateralisation; 5.2.4 Disputes and reconciliations; 5.2.5 Margin call frequency; 5.2.6 Haircuts; 5.2.7 Coupons and interest payments; 5.2.8 Substitution, funding costs and rehypothecation; 5.3 Defining the amount of collateral; 5.3.1 Types of CSA; 5.3.2 Linkage of collateral parameters to credit quality; 5.3.3 Threshold; 5.3.4 Independent amount. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 5.3.5 Minimum transfer amount and rounding. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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 unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterpar. |
| 588 0# - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Print version record and CIP data provided by publisher. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivative securities |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Risk management. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivative securities |
| General subdivision | Mathematical models. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | BUSINESS & ECONOMICS |
| General subdivision | Investments & Securities |
| -- | General. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivative securities |
| General subdivision | Mathematical models. |
| Source of heading or term | fast |
| Authority record control number or standard number | (OCoLC)fst00891026 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Risk management. |
| Source of heading or term | fast |
| Authority record control number or standard number | (OCoLC)fst01098164 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #7 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| Source of term | local |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Gregory, Jon, |
| Dates associated with a name | 1971- |
| Title of a work | Counterparty credit risk. |
| 773 0# - HOST ITEM ENTRY | |
| Title | Wiley e-books |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Gregory, Jon, Ph. D. |
| Title | Counterparty credit risk and credit value adjustment. |
| Edition | 2nd ed. |
| Place, publisher, and date of publication | Hoboken, N.J. : Wiley, 2012 |
| International Standard Book Number | 9781118316672 |
| Record control number | (DLC) 2012023249 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley finance series. |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://eresourcesptsl.ukm.remotexs.co/user/login?url=https://doi.org/10.1002/9781118673638">https://eresourcesptsl.ukm.remotexs.co/user/login?url=https://doi.org/10.1002/9781118673638</a> |
| Public note | Wiley Online Library |
| 907 ## - LOCAL DATA ELEMENT G, LDG (RLIN) | |
| a | .b16756642 |
| b | 2022-11-08 |
| c | 2019-11-12 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Suppress in OPAC | No |
| 914 ## - VTLS Number | |
| VTLS Number | vtls003651321 |
| 998 ## - LOCAL CONTROL INFORMATION (RLIN) | |
| Library | |
| Operator's initials, OID (RLIN) | 2019-05-09 |
| Cataloger's initials, CIN (RLIN) | m |
| Material Type (Sierra) | E-Book |
| Language | English |
| Country | |
| -- | 0 |
| -- | .b16756642 |
No items available.