The xVA Challenge: Counterparty Credit Risk, Funding. JON GREGORY is an independent expert specialising in counterparty risk and related aspects. He has worked on many aspects of credit risk in his career, being. Counterparty credit risk has become the key element of financial risk management, Dr Jon Gregory is a consultant specialising in the area of counterparty risk.

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Order this book today from amazon. All end—users of OTC derivatives are affected by these changes.

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital, 3rd Edition

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. 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. With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary.


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.

Counterparty Credit Risk and Credit Value Adjustment : Jon Gregory :

Congratulations Jon on another excellent book. Rotman School of Management, University of Toronto. It is remarkably clear and accessible, counterprty 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!

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, crecit regulators. With the second edition Jon Gregory brings the reader right up to date.

Much of the material has been rewritten or expanded.

Center for Risk Management Research

The book will continue to be essential reading for anyone who works in derivatives. 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. A must read for everybody in the financial industry dealing with counterparty risk. As in his previous volume, he provides a solid exposition of the conceptual and institutional aspects of this complex form of risk. Relying irsk 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 ccounterparty 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. Rowe, President, David M.

February ccounterparty, – February 22, April 25, – April 26, We use cookies to ensure that we give you the best experience on our website. If you continue to use this site we will assume that you are happy with it.