Degree of influence 2021: XVA marks the spot

Research into valuation adjustments is back on quants’ to-do list

XVA mentions

CLICK HERE TO DOWNLOAD THE PDF

Valuation adjustments (XVAs) gained prominence in the quantitative research published in our Cutting Edge section this year. Hedging valuation adjustment, fact and friction, saw Ben Burnett, a director in the XVA quant team at Barclays Bank, proposing a methodology for factoring hedging costs into derivatives valuations. An extension of the paper – The cost of hedging XVA – co-written with Ieuan Williams, introduced the framework for consistently calculating HVA

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here