The xVA Challenge: A Valuation Adjustment Framework for Modern Derivatives Markets - Hardcover

Über die Autorin bzw. den Autor

JON GREGORY, PHD, is an independent expert specialising in counterparty credit risk and related aspects, including CVA, FVA, collateral regulatory capital, initial margin, and central clearing. He is a consultant to the World Bank Group, serves as senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the Certificate of Quantitative Finance. He holds a PhD from Cambridge University and has worked extensively on credit risk aspects at Barclays Capital, BNP Paribas, and Citigroup. Widely acknowledged as a pioneer in the credit area, he runs bespoke training courses and workshops for financial institutions worldwide.

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PRAISE FOR The xVA Challenge

“As XVA practice and regulation race ahead, Jon Gregory–The Grandmaster of XVA–once again sets the standard with this timely 5th edition. It is fully up to date, sweeping in scope, precise in detail, and genuinely indispensable. If your work touches XVA, this belongs on your desk.”
VLADIMIR V. PITERBARG, Managing Director, Head of Quantitative Analytics, NatWest Markets

“This is by far the clearest and most comprehensive reference work on counterparty credit risk and related value adjustments. With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary.”
DARRELL DUFFIE, Adams Distinguished Professor of Management and Professor of Finance, Stanford Graduate School of Business

“Jon Gregory strikes again with The xVA Challenge. Now at its 5th edition, this excellent book is definitely an indispensable, comprehensive and up-to-date resource for quants, risk managers, or traders who want to understand how counterparty, funding and capital risk drive the derivative markets.”
MARCO BIANCHETTI, Financial & Market Risk Management, Intesa Sanpaolo, and University of Bologna, Italy

“Jon’s book does an excellent job at both guiding XVA Desk members deep into complex topics, but also providing valuable inputs to the management and role of the XVA Desk. The clear communication style of Jon makes the book accessible not only for traders and quants, but also for sales and management, which is rare for a book on such complex topics.”
NICKI S. RASMUSSEN, Head of XVA, Danske Bank A/S

“Jon Gregory is one of the godfathers of the xVA story. He is amongst the few who can demystify the puzzle and this book is a key tool for bringing light into these dark matters.”
WIM SCHOUTENS, Professor in Risk Management, Quantitative Finance and Financial Engineering, University of Leuven, Belgium

“xVAs and financial resources management and optimization have become central themes in the banking industry, and Jon’s book is the unifying platform for dialogue around these topics. In this edition, with a finely tuned balance between conceptual rigor and practical insight, Jon continues to track key market developments with depth of knowledge and clarity of exposition, whilst highlighting the important open questions.”
ALI NAJMAIE, Managing Director, Global Head of Financial Resources Management and Quantitative Strategies Group - TD Securities

“The issue of counterparty risk and valuation adjustments continues to see rapid change. Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk and xVA. This book is an essential reading for regulators and all users of OTC derivatives.”
STUART M. TURNBULL, Professor Emeritus, Bauer School of Business, University of Houston

Aus dem Klappentext

Written by Jon Gregory, a renowned pioneer in counterparty credit risk with experience at Barclays Capital, BNP Paribas, and Citigroup, this Fifth Edition of The xVA Challenge delivers the authoritative guidance that risk professionals need to navigate an increasingly complex regulatory landscape. Gregory combines rigorous quantitative foundations with practical implementation insights drawn from decades of advisory work with major financial institutions, making this the definitive resource for understanding and managing valuation adjustments.

This edition addresses the expanding xVA requirements facing institutions of all sizes, from global banks to regional players. The book provides comprehensive coverage of compression tools for optimising counterparty risk, detailed treatment of ColVA with real-world examples, and thorough analysis of xVA desk mandates. Gregory examines hedging strategies that emerged from market volatility during the early Covid pandemic, offering tested approaches for managing exposure during periods of stress.

New to this edition is extensive coverage of FRTB-CVA, including guidance for banks developing CVA models to achieve regulatory SA-CVA approval. The book explores the current implementation landscape for KVA and MVA across institutions and introduces advanced computational techniques, including machine learning and algorithmic differentiation methods, that accelerate xVA calculations. Each topic combines theoretical foundations with practical examples that readers can apply directly to their own challenges.

Risk managers seeking to strengthen their xVA frameworks, traders requiring deeper understanding of valuation adjustment mechanics, derivatives practitioners implementing regulatory requirements, and regulators developing policy guidance will find The xVA Challenge an indispensable reference. This regularly updated resource provides the analytical depth and practical orientation that professionals across the financial services industry need to address counterparty credit risk effectively.