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

A thoroughly updated and expanded edition of the xVA challenge

The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implicatio...