Anonymous shelf assessment
Understanding Counterparty Credit Risk and xVA Management
Shelf score 8.5 / 10
On XVA Challenge · Jon Gregory · John Wiley & Sons
Published 21 March 2026
This comprehensive guide addresses the complexities of counterparty credit risk and related financial aspects in derivatives trading.
Overview
The XVA Challenge, authored by Jon Gregory, serves as an essential resource for practitioners navigating the intricate landscape of counterparty credit risk, funding, collateral management, and capital requirements. Published in 2015, this guide delves into the frameworks and quantitative methods necessary for effective risk management in modern finance.
The book begins by exploring the emergence of counterparty risk during the global financial crisis, providing context for the importance of managing such risks. It offers detailed discussions on key xVA terms, including CVA, DVA, FVA, ColVA, and KVA, as well as their interactions and implications for financial institutions.
In addition to theoretical insights, the text addresses practical methods for quantifying credit exposure and implementing risk mitigation strategies, such as netting and collateral. The comprehensive treatment of regulatory developments, market practices, and recent academic thinking makes this book a valuable reference for risk managers, treasurers, analysts, and portfolio managers alike.
By area & interest
Practical Guidance
The XVA Challenge provides actionable insights into managing counterparty credit risk, focusing on practical methods and real-world applications.
Regulatory Context
The book discusses the latest regulatory requirements, including Basel III capital standards, which are crucial for financial institutions navigating today's complex landscape.
Comprehensive Coverage
It covers a wide range of topics related to xVA, including stress testing, wrong-way risks, and the interactions between various adjustments, making it a thorough resource.
Target Audience
This guide is particularly suited for professionals in finance, including risk managers and analysts, who require a deeper understanding of counterparty credit risk.
Basis of this assessment
This assessment is based on the catalogue description, Google Books metadata, and Open Library subjects.
Strengths
The XVA Challenge excels in its comprehensive coverage of counterparty credit risk and related financial concepts, providing practitioners with practical tools and frameworks necessary for effective risk management.
Limitations
The book may be dense for readers without a strong background in finance or risk management, potentially limiting its accessibility to a broader audience.
Ideal reader
Ideal readers include risk managers, treasurers, analysts, and portfolio managers seeking to enhance their understanding of counterparty credit risk and xVA management.