The xVA Challenge

A Valuation Adjustment Framework for Modern Derivatives Markets

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Beschreibung

<p><b>The definitive guide to counterparty risk and valuation adjustments, updated and revised</b></p> <p>In the newly revised fifth edition of <i>The xVA Challenge</i>, 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.</p> <p>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.</p> <p>You'll also find:</p> <ul> <li>Comprehensive coverage of all xVA components including CVA, DVA, FVA, ColVA, KVA, and MVA with practical implementation guidance</li> <li>Detailed analyses of FRTB-CVA regulatory requirements and SA-CVA model development for regulatory approval</li> <li>Advanced compression techniques and optimization strategies for managing counterparty risk and xVA exposure</li> <li>Real-world case studies and examples demonstrating ColVA applications and xVA desk operations during market volatility</li> <li>State-of-the-art computational methods including machine learning approaches and algorithmic differentiation for enhanced calculation efficiency</li> </ul> <p>Perfect for risk managers, traders, derivatives practitioners, and financial regulators, <i>The xVA Challenge, Fifth Edition,</i> offers essential updates and practical tools that contemporary finance professionals need to effectively im

Artikeldetails

EAN

9781394354450

Sprache

Englisch

Einband / Art

Buch

Maße

248 x 177 x 51 mm

Erscheinungsjahr

2026

Verlag / Hersteller

Wiley John + Sons