Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Bloomberg quant has developed a balance-sheet model for XVA pricing
A linear approximation to an allocation technique provides a solution for banks’ capital managment