{"product_id":"the-xva-challenge-a-valuation-adjustment-framework-for-modern-derivatives-markets-hardback-9781394354450","title":"The xVA Challenge; A Valuation Adjustment Framework for Modern Derivatives Markets (Hardback) 9781394354450","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eThe xVA Challenge\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eA Valuation Adjustment Framework for Modern Derivatives Markets\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eJon Gregory (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781394354450, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 2 July 2026\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e720 pages\u003cbr\u003e24.9 x 17.8 x 4.3 cm, 1.134 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\u003cb\u003eThe definitive guide to counterparty risk and valuation adjustments, updated and revised\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIn the newly revised fifth edition of \u003ci\u003eThe xVA Challenge\u003c\/i\u003e, 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.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003cp\u003eYou’ll also find:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eComprehensive coverage of all xVA components including CVA, DVA, FVA, ColVA, KVA, and MVA with practical implementation guidance\u003c\/li\u003e \u003cli\u003eDetailed analyses of FRTB-CVA regulatory requirements and SA-CVA model development for regulatory approval\u003c\/li\u003e \u003cli\u003eAdvanced compression techniques and optimization strategies for managing counterparty risk and xVA exposure\u003c\/li\u003e \u003cli\u003eReal-world case studies and examples demonstrating ColVA applications and xVA desk operations during market volatility\u003c\/li\u003e \u003cli\u003eState-of-the-art computational methods including machine learning approaches and algorithmic differentiation for enhanced calculation efficiency\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003ePerfect for risk managers, traders, derivatives practitioners, and financial regulators, \u003ci\u003eThe xVA Challenge, Fifth Edition,\u003c\/i\u003e 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.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eList of Spreadsheets xix\u003cbr\u003eList of Appendices xxi\u003cbr\u003eAcknowledgements xxiii\u003cbr\u003eAbout the Author xxv\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Background\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Derivatives 5\u003c\/b\u003e\u003cbr\u003e2.1 Introduction 5\u003cbr\u003e2.2 The Derivatives Market 7\u003cbr\u003e2.3 Derivative Risks 19\u003cbr\u003e2.4 Central Clearing 24\u003cbr\u003e2.5 Derivatives Risk Modelling 29\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Counterparty Risk and xVA 35\u003c\/b\u003e\u003cbr\u003e3.1 Counterparty Risk 35\u003cbr\u003e3.2 Beyond Counterparty Risk 48\u003cbr\u003e3.3 Components of xVA 51\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Regulation 57\u003c\/b\u003e\u003cbr\u003e4.1 Capital Requirements 58\u003cbr\u003e4.2 Backstops and Complementary Measures 65\u003cbr\u003e4.3 Liquidity 68\u003cbr\u003e4.4 Clearing and Margining 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 What Is xVA? 81\u003c\/b\u003e\u003cbr\u003e5.1 Overview 81\u003cbr\u003e5.2 Anatomy of xVA 82\u003cbr\u003e5.3 Valuation 91\u003cbr\u003e5.4 Pricing 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Counterparty Risk Mitigation\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Netting, Close-Out and Related Aspects 113\u003c\/b\u003e\u003cbr\u003e6.1 Overview 113\u003cbr\u003e6.2 Cash Flow Netting 114\u003cbr\u003e6.3 Netting in Default 123\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Collateral, Margin and Settlement 133\u003c\/b\u003e\u003cbr\u003e7.1 Termination and Reset Features 133\u003cbr\u003e7.2 Basics of Collateralisation 137\u003cbr\u003e7.3 Collateral Terms 144\u003cbr\u003e7.4 Standard CSAs 154\u003cbr\u003e7.5 Impact of Collateral 159\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Central Clearing 167\u003c\/b\u003e\u003cbr\u003e8.1 Evolution of Central Clearing 167\u003cbr\u003e8.2 CCP Risk Management 178\u003cbr\u003e8.3 Impact of Central Clearing 185\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Initial Margin Methodologies 191\u003c\/b\u003e\u003cbr\u003e9.1 Overview 191\u003cbr\u003e9.2 SPAN 200\u003cbr\u003e9.3 Historical Simulation 206\u003cbr\u003e9.4 Bilateral Initial Margin and the ISDA-SIMM 218\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Building Blocks\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Future Value and Exposure 235\u003c\/b\u003e\u003cbr\u003e10.1 Credit Exposure 235\u003cbr\u003e10.2 Drivers of Exposure 243\u003cbr\u003e10.3 Portfolio Effects and the Impact of Collateral 253\u003cbr\u003e10.4 Funding, Rehypothecation and Segregation 265\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Curves 273\u003c\/b\u003e\u003cbr\u003e11.1 Default Probability 273\u003cbr\u003e11.2 Credit Curve Mapping 280\u003cbr\u003e11.3 Funding and Capital 291\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Regulatory Methodologies 307\u003c\/b\u003e\u003cbr\u003e12.1 Overview 307\u003cbr\u003e12.2 Credit Risk (Default Risk) Capital 310\u003cbr\u003e12.3 CVA Risk 312\u003cbr\u003e12.4 Exposure Calculation Methodologies 322\u003cbr\u003e12.5 Examples 337\u003cbr\u003e12.6 CCP Capital Requirements 348\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Valuation Adjustments\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Discounting and Collateral 355\u003c\/b\u003e\u003cbr\u003e13.1 Overview 355\u003cbr\u003e13.2 The Starting Point 357\u003cbr\u003e13.3 ColVA and Discounting 360\u003cbr\u003e13.4 Beyond Perfect Collateralisation 374\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 CVA and DVA 379\u003c\/b\u003e\u003cbr\u003e14.1 Overview 379\u003cbr\u003e14.2 Credit Valuation Adjustment 380\u003cbr\u003e14.3 Debt Valuation Adjustment 388\u003cbr\u003e14.4 Risk Mitigants 395\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 FVA 403\u003c\/b\u003e\u003cbr\u003e15.1 Overview 403\u003cbr\u003e15.2 FVA Background 404\u003cbr\u003e15.3 Portfolio FVA 423\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Capital and KVA 437\u003c\/b\u003e\u003cbr\u003e16.1 Overview 437\u003cbr\u003e16.2 Capital Valuation Adjustment 438\u003cbr\u003e16.3 Management of KVA 451\u003cbr\u003e16.4 KVA Overlaps 459\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Initial Margin and MVA 463\u003c\/b\u003e\u003cbr\u003e17.1 Overview 463\u003cbr\u003e17.2 Initial Margin Funding Costs 464\u003cbr\u003e17.3 MVA Market Practice 474\u003cbr\u003e17.4 MVA Overlaps 479\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V Modelling and Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Credit Curve Quantification 485\u003c\/b\u003e\u003cbr\u003e18.1 Proxy Curves 485\u003cbr\u003e18.2 Loss Given Default 500\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Managing xVA 507\u003c\/b\u003e\u003cbr\u003e19.1 The Role of An xVA Desk 507\u003cbr\u003e19.2 Hedging 515\u003cbr\u003e19.3 Operation of An xVA Desk 536\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Quantifying Exposure: First-Generation Approaches 549\u003c\/b\u003e\u003cbr\u003e20.1 Overview 549\u003cbr\u003e20.2 Monte Carlo Methodology 552\u003cbr\u003e20.3 Choice of Models 561\u003cbr\u003e20.4 Collateral Modelling 573\u003cbr\u003e20.5 Examples 580\u003c\/p\u003e \u003cp\u003e\u003cb\u003e21 Quantifying Exposure: Second-Generation Approaches 599\u003c\/b\u003e\u003cbr\u003e21.1 Wrong-Way Risk I 599\u003cbr\u003e21.2 Wrong-Way Risk II 610\u003cbr\u003e21.3 Speeding Up xVA Calculations 619\u003cbr\u003e21.4 Second-Generation xVAs (MVA and KVA) 632\u003cbr\u003e21.5 Modelling Future Sensitivities 635\u003c\/p\u003e \u003cp\u003eGlossary 645\u003cbr\u003eGeneral Terminology 649\u003cbr\u003eReferences 651\u003cbr\u003eIndex 667\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52453474369816,"sku":"9781394354450","price":62.99,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781394354450.jpg?v=1785284900","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/the-xva-challenge-a-valuation-adjustment-framework-for-modern-derivatives-markets-hardback-9781394354450","provider":"Freshly Printed Books","version":"1.0","type":"link"}