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…
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets