Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
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Valuation adjustments (XVAs) gained prominence in the quantitative research published in our Cutting Edge section this year. Hedging valuation adjustment, fact and friction, saw Ben Burnett, a director in the XVA quant team at Barclays Bank, proposing a methodology for factoring hedging costs into derivatives valuations. An extension of the paper – The cost of hedging XVA – co-written with Ieuan Williams, introduced the framework for consistently calculating HVA
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