US regulators also looking into divergent valuations for uncollateralised swaps
As the bank capital burden grows, dealers are trying to price in the associated costs
Some quants are arguing FVA should not be part of earnings
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
US bank takes one-off charge to reflect cost of uncollateralised receivables
US bank becomes thirteenth to reflect cost of uncollateralised trades
Risk Awards 2015: Barclays quants put FVA on solid ground
KVA are introduced to take into account the effect of capital on funding
XVA specialists spark debate on regulation and risk-neutrality
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
The US bank announces a one-off FVA primarily due to uncollateralised derivatives receivables
Funding strategies, funding costs
Sponsored statement: Absa
Down the rabbit hole
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting....
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This...