Funding valuation adjustment (FVA)
Just over two-thirds say the current FVA approach is wrong
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More Funding valuation adjustment (FVA) articles
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Wujiang Lou shows the impact of funding costs on option valuation
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Risk Awards 2015: Barclays quants put FVA on solid ground
Risk Awards 2015: Bank arranged record margin loan in 30 days
How much margin is missing in sovereign swaps? The stress test had the answer
Fourteen banks had net exposure to Italy in EU tests, implying huge funding costs
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