“You need traders who can understand all market factors across all assets. Traders also have to understand a concept called cross-gamma, where you know how a market factor such as rates moves along with the credit of your counterparty. And you also need a system where all the trade data with a counterparty including cash flows can be aggregated.”
—Dmitry Pugachevsky, director of research at Quantifi, on the challenges of setting up a credit valuation adjustment desk in Brazil
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