Hedging valuation adjustment (HVA)
Burnett and Piau on their comprehensive framework for XVAs
Barclays quants explain the bank’s approach to a long-standing problem
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