Hedging valuation adjustment (HVA)
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified