Quants of the year: Christoph Burgard and Mats Kjaer

Prior to Burgard and Kjaer's end-2013 paper, discussion about FVA was "smoke in the air". The two quants, then both at Barclays, gave it solidity – work their peers describe as revolutionary

Christoph Burgard (left) and Mats Kjaer

There was a time when banks could borrow and lend at the risk-free rate and when a derivatives desk's cost of funding was not an existential issue. Those happy, carefree days ended with the financial crisis, forcing banks to fund their trades at a spread above the risk-free rate and to focus more finely on pricing, separating out the credit, debit and funding valuation adjustments (CVA, DVA and FVA) that respectively reflect counterparty credit risk, risk of own default and cost of funding.


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