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
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
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