Anonymous shelf assessment
xVA: Credit Overview
Shelf score 8.0 / 10
On xVA: Credit · Damiano Brigo et al. · John Wiley & Sons
Published 23 March 2026
This work addresses the complexities of funding and capital valuation adjustments in global financial markets post-2008.
Overview
Authored by Damiano Brigo and colleagues, 'xVA: Credit' provides an in-depth examination of the xVA framework, focusing on Credit Valuation Adjustment (CVA), Debt Valuation Adjustment (DVA), Funding Valuation Adjustment (FVA), and Capital Valuation Adjustment (KVA). The text is particularly relevant for practitioners in the fields of derivatives, risk management, and quantitative finance.
The book is designed to equip traders, risk managers, and quants with the necessary tools to navigate the evolving landscape of financial regulation and valuation. It presents a comprehensive approach to understanding the implications of these adjustments on derivative pricing and risk assessment, making it a vital resource for professionals in the industry.
While the content is rich and informative, it is noted for its technical nature, which may pose challenges for those without a strong background in quantitative finance. Nevertheless, its insights into the post-2008 valuation framework make it a significant contribution to the literature on financial risk management.
By area & interest
Key Concepts
The book delves into critical concepts such as CVA, DVA, FVA, and KVA, providing a structured understanding of how these adjustments impact derivative pricing.
Regulatory Context
It discusses the regulatory environment that emerged after the 2008 financial crisis, highlighting the importance of these adjustments in compliance and risk management.
Target Audience
The primary audience includes derivatives quants and risk managers who require a deep understanding of valuation adjustments in their daily operations.
Basis of this assessment
This assessment is based on catalogue information and the provided description of the book.
Strengths
The book offers a comprehensive framework for understanding valuation adjustments in derivatives, making it a valuable resource for finance professionals.
Limitations
Its technical nature may limit accessibility for those without a strong quantitative background.
Ideal reader
Ideal readers are practitioners in finance, particularly those involved in derivatives trading and risk management, seeking to enhance their understanding of valuation adjustments.