Funding valuation adjustment (fva)
A new framework for derivatives pricing with valuation adjustments
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
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
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XVA specialists spark debate on regulation and risk-neutrality
Yorkshire Water among the firms said to be considering inflation repacks
Taiwan's regulator warns banks about structured hedges
Yen and dollar funding discrepancies hit Nikkei options market
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.