The xVA Challenge - Jon Gregory

The definitive guide to counterparty risk and valuation adjustments, updated and revised

In the newly revised fifth edition of The xVA Challenge, veteran quantitative finance and counterparty credit risk expert Jon Gregory delivers an authoritative roadmap to navigating counterparty risk, funding, collateral, capital, and initial margin. He draws on his extensive experience as a former senior practitioner at Barclays Capital, BNP Paribas, and Citigroup to walk you through the most urgent challenges facing risk managers, traders, and derivatives practitioners right now.

The book explores the latest developments in xVA methodology and practice, guiding you through advanced compression tools for counterparty risk optimisation, detailed ColVA analysis with real-world examples, and the evolving mandate of xVA desks in volatile market conditions. It examines FRTB-CVA implementation challenges, current approaches to KVA and MVA in banking operations, and cutting-edge machine learning and algorithmic differentiation techniques.

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Perfect for risk managers, traders, derivatives practitioners, and financial regulators, The xVA Challenge, Fifth Edition, offers essential updates and practical tools that contemporary finance professionals need to effectively implement xVA frameworks, optimise counterparty risk management, and navigate an increasingly fraught regulatory landscape.