Debit valuation adjustment (DVA)
This month's cover story illustration uses Dr Frankenstein’s monster as a visual metaphor for dealers’ attempts to apply fair-value accounting to funding valuation adjustment (FVA). In part, that’s...
More Debit valuation adjustment (DVA) articles
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
From stochastic volatility to shameful scams
The FVA debate continues
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.