Quants of the year: Christoph Burgard and Mats Kjaer

Risk Awards 2015: Barclays quants put FVA on solid ground

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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