I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few?

Your pointer will be highly appreciated.

Many thanks,

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    $\begingroup$ Jon Gregory’s the XVA challenge is very readable $\endgroup$ – Magic is in the chain Aug 9 '20 at 21:17
  • $\begingroup$ Andrew Green’s XVA book is good too. (Jon’a books are the best though when it comes to readability and insight, as Magic said. Plus he provides a bunch of readable spreadsheets demonstrating main concepts.) $\endgroup$ – ir7 Aug 10 '20 at 3:14
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    $\begingroup$ @develarist VA stands for Valuation Adjustment. X can stand for any cost/benefit that standard derivative ‘pricing’ misses: C from counterparty credit, F from funding, M from margin, K from capital etc. en.m.wikipedia.org/wiki/XVA $\endgroup$ – ir7 Aug 10 '20 at 4:06
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    $\begingroup$ I'm reading these books but I can't understand to model WWR using copula. Do you have other references? I'm working in Matlab. $\endgroup$ – user48282 Aug 10 '20 at 15:52
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    $\begingroup$ For WWR I recall looking at "Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes" by Brigo, Morini, Pallavicini. $\endgroup$ – BrownianBread Aug 10 '20 at 19:13

In addition to the good books already mentioned, I suggest:

Eduardo Canabarro. Counterparty Credit Risk. Risk Books (2010)

Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda. Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide. Springer Finance (2009).

Dongsheng Lu. The XVA of Financial Derivatives: CVA, DVA and FVA Explained (2015)

Recent article Lixin Wu, Dawei Zhang. xVA-Definition, Evaluation and Risk Management (2020) DOI: 10.1142/S0219024920500065


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