The xVA Challenge

Praise for The xVA ChallengeThe issue of counterparty risk has undergone rapid change since the credit crisis. All end users of OTC derivatives are affected by these changes. The title 'xVA' 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 an essential reading for regulators and all users of OTC derivatives. -Stuart M. Turnbull, Bauer Chaired Professor of Finance, Bauer College of Business, University of HoustonJon 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; Professor in financial engineering, University of Leuven, BelgiumThis 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, Stanford Graduate School of BusinessThe previous editions of Jon Gregory's books on the post-crisis over-the-counter derivatives markets were classics, packed with a wealth of information. This new edition greatly extends the coverage of the first three editions. Like them, it is a must-buy for anyone involved with derivatives markets. Congratulations Jon on another excellent book. -John Hull, Maple Financial Group Chair in Derivatives and Risk Management - Rotman School of Management, University of Toronto