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Banks must manage their trading books, not just value them. Pricing includesvaluation adjustments collectively known as XVA (at least credit, funding,capital and tax), so management must also include XVA. In trading bookmanagement we focus on pricing, hedging, and allocation of prices or hedgingcosts to desks on an individual trade basis. We show how to combine threetechnical elements to radically simplify XVA management, both in terms of thecalculations, and the implementation of the calculations. The three technicalelements are: trade-level regression; analytic computation of sensitivities;and global conditioning. All three are required to obtain the radicalefficiency gains and implementation simplification. Moreover, many of thecalculations are inherently parallel and suitable for GPU implementation. Theresulting methodology for XVA management is sufficiently general that we cancover pricing, first- and second-order sensitivities, and exact trade-levelallocation of pricing and sensitivities within the same framework. Managingincremental changes to portfolios exactly is also radically simplified.

Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning