Funding valuation adjustment (FVA)
Dealers claim to be losing trades because smaller rivals are mispricing
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Funding valuation adjustment (FVA) articles
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
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.