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.
Chris Kenyon proposes a framework for optimising XVAs – from the client perspective
A client’s guide to reducing XVA in times of need
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced