Jon Gregory

The xVA Challenge offers a thoroughly updated and expanded view of the evolving field of derivatives valuation following the global financial crisis. The rise of valuation adjustments, commonly referred to as ‘xVAs’, has led to a significant re-assessment of how derivatives are priced and valued. Understanding xVA is now essential for all derivatives users, as the topic is complex and...

The definitive guide to counterparty risk and valuation adjustments, updated and revised In the newly revised fifth edition of The xVA Challenge, 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,...