Anonymous shelf assessment
In-depth Guide to xVA Calculations
Shelf score 8.5 / 10
On The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital · Jon Gregory · John Wiley & Sons
Published 22 March 2026
This authoritative resource offers a comprehensive examination of counterparty credit risk and xVA calculations essential for financial professionals.
Overview
The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital by Jon Gregory is a detailed exploration of the xVA framework, crucial in the post-crisis financial landscape. It meticulously covers various xVA components, including Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), Funding Valuation Adjustment (FVA), and Capital Valuation Adjustment (KVA), providing practical examples to illustrate their relevance to derivatives pricing and risk management.
The book contextualises the emergence of counterparty risk during the global financial crisis, discussing the quantification of credit exposure and risk mitigation techniques. It addresses regulatory developments, including Basel III, making it particularly relevant for risk managers and financial analysts. Additionally, it covers critical topics such as wrong-way risk and stress testing methodologies, ensuring a holistic understanding of counterparty credit risk challenges and strategies.
As counterparty credit risk has become a pivotal concern for financial institutions, this book serves as a vital resource for professionals navigating these complexities, ultimately contributing to the stability of financial markets.
By area & interest
Comprehensive xVA Framework
The book provides an extensive examination of xVA components, making complex calculations accessible to practitioners.
Regulatory Insights
It discusses the latest regulatory requirements, including Basel III, and their implications for risk management practices.
Practical Applications
Real-world examples enhance understanding and illustrate the relevance of xVA calculations in derivatives pricing.
Holistic Risk Management
The text covers various aspects of counterparty credit risk, including stress testing and collateral management.
Basis of this assessment
This assessment is based on catalogue details, Google Books metadata, and subject classifications from Open Library.
Strengths
The xVA Challenge excels in its thorough and practical examination of counterparty credit risk and xVA calculations, making complex topics accessible to practitioners. Jon Gregory's expertise ensures the content is relevant and applicable, supported by real-world examples.
Limitations
While the book provides extensive coverage of xVA and related topics, it does not address broader financial theories or concepts outside counterparty risk management, which may require readers to consult additional resources for a more general introduction.
Ideal reader
This book is best suited for risk managers, analysts, portfolio managers, traders, and financial professionals involved in derivatives and counterparty credit risk management.