xVA Challenge


The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin


Fourth Edition by Jon Gregory




  • Hardcover: 704 pages
  • Publisher: John Wiley & Sons; 4th edition (27 April 2020)
  • Language: English
  • ISBN-10: 1119508975
  • ISBN-13: 978-1119508977
  • Product Dimensions: 17 x 24.4 cm

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The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital



Third Edition by Jon Gregory

Publisher: John Wiley & Sons (4 September 2015)

ISBN-13: 978-1119109419

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“The issue of counterparty risk has undergone rapid change since the credit crisis. All end–users of OTC derivatives are affected by these changes. The new title ′xVA′ of the third edition reflects the increased complexity generated by these changes. Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk. This book is essential reading for regulators and all users of OTC derivatives.”

Stuart M. Turnbull, Bauer Chaired Professor of Finance, Bauer College of Business, University of Houston



“Jon Gregory is one of the godfathers of the VA story. He is amongst the few who can demystify the puzzle and this book is a key tool for bringing light into these dark matters.”

Wim Schoutens, independent consultant and professor in financial engineering at the University of Leuven, Belgium



“This is by far the clearest and most comprehensive reference work on counterparty credit risk and related value adjustments. With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary.”

Darrell Duffie, Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business



“The first and second editions of Jon Gregory′s book on the post–crisis over–the–counter derivatives markets were classics, packed with a wealth of information. This third edition greatly extends the coverage of the first two editions. Like them, it is a must–buy for anyone involved with derivatives markets. Congratulations Jon on another excellent book.”

John Hull, Maple Financial Chair in Derivatives and Risk Management Joseph L. Rotman School of Management, University of Toronto



“Jon Gregory manages again to grab the XVA animal in its relentless flight and restrain it long enough to take a picture of its present state. The picture is, as usual, neat and clear, with full awareness of the continuous commitment of the market to optimise this aspect of pricing that has become a crucial factor for a bank′s competitiveness. Rephrasing J.L. Borges, we could say ′XVA is a tiger which is devouring us; but we are the tiger′.”

Massimo Morini, Head of Interest Rate and Credit Models at Banca IMI and Professor of Fixed Income at Bocconi University



“Jon Gregory has written a fantastic book on counterparty risk, funding, collateral management and capital. It is remarkably clear and accessible, especially considering how technical and sophisticated these topics are. The book is an indispensable guide to the challenges of understanding and computing XVA measures and definitely one to read!”

Giovanni Cesari, Author of Modelling, Pricing, and Hedging Counterparty Credit Exposure (Springer)




Counterparty Credit Risk


Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets


Second Edition by Jon Gregory

Publisher: John Wiley & Sons (31 August 2012)

ISBN-13: 978-1118316672

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 “Jon Gregory is the acknowledged global expert on counterparty credit risk. This new edition of his definitive treatment of the subject, fully updated and expanded, will remain the go-to source on counterparty risk management and valuation. The concepts and examples are perfectly pitched to masters students, financial market participants, and regulators.”

Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University



“Much has happened in financial markets since the first edition of Counterparty Credit Risk was published. With the second edition Jon Gregory brings the reader right up to date. Much of the material has been rewritten or expanded. The book will continue to be essential reading for anyone who works in derivatives.”

Professor John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto



“Jon Gregory provides a comprehensive treatment of counterparty risk, including centralized clearing. His exposition is clear and accessible, which is remarkable given the complexity of the topic. There are many practical examples, including experiences from the recent credit crisis. His book should be required reading for risk managers, senior banking executives, regulators, policy makers and scholars concerned about counterparty risk.”

Stuart M. Turnbull, Bauer Chaired Professor, Bauer College of Business



“It is great to see a timely and extensive update to what has quickly become a classic text in a rapidly evolving field of counterparty credit risk.”

Vladimir V. Piterbarg, Global Head of Quantitative Analytics, Barclays



“Utmost important topic covered by one of the best experts in the field. A must read for everybody in the financial industry dealing with counterparty risk.”

Wim Schoutens, Research Professor, University of Leuven



“Jon Gregory is an all too rare individual, a state-of-the-art quant who knows the limits of mathematical analysis and who also can express himself effectively with words. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Relying mainly on graphics and examples to illustrate his points allows him to banish most mathematical formulas to chapter appendices that can safely be skipped by the interested non-specialist. The 2nd edition provides a timely update with revised or expanded discussion of topics that have received particular attention in finance and public policy circles over the past two years. I highly recommend this book to any intelligent layperson who seeks a better understanding of counterparty credit risk and its implications for public policy.”

David M. Rowe, President, David M. Rowe Risk Advisory / Long-time Risk Analysis Columnist, Risk Magazine


Counterparty Credit Risk


Counterparty Credit Risk: The New Challenge for Global Financial Markets


First Edition By Jon Gregory

Publisher: John Wiley & Sons (19 December 2009)