Funding valuation adjustment (fva)
The regulatory agenda for the forthcoming 12–18 months will present a diverse set of challenges for risk managers across all segments of the market. The rigours of continued stress testing by national...
Derivatives linked to the US dollar-renminbi exchange rate have been successful during the Chinese currency’s four-year rise. But now it is sliding, corporate users are looking at heavy losses and regional...
More Funding valuation adjustment (fva) articles
JP Morgan’s decision to accept a $1.5 billion FVA charge when revaluing its book has put pressure on other banks to follow, but there is no consensus on even fundamental issues, such as which funding spread to use – let alone the mind-melting complexity...
Funding costs, both for derivatives trading and for more traditional bank lending, are set by treasury functions, which now must consider regulatory requirements such as the Basel III liquidity coverage ratio. But few studies look at how to optimise this...
Differences in the cost of yen and dollar funding are significantly impacting the price of Japan equity options at the long end of the curve and driving dealers on to the listed market
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
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Australia, 12th - 13th Aug 2014
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