Year of the XVAs: top technical papers and authors of 2015
Valuation adjustments are rising in number and importance – and as a result, quants are stepping up to scrutinise associated industry practices. Risk.net gives an overview of this year's technical articles and introduces our annual roundup of citations
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Research is supposed to precede application, not the other way around. When banks first started including funding valuation adjustment (FVA) into pricing for derivatives trades, it was thought to be something of a black art. Academics argued the adjustment, which reflects the costs and benefits of funding collateralised hedges for
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