Darrell Duffie

The theoretical foundations of XVAs

Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…

FVA: off the mark

With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices

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