Funding valuation adjustment (fva)
The funding valuation adjustment (FVA) is the biggest controversy of recent times in quantitative finance. Now the authors of the original FVA paper are back – and think there may be a solution. Laurie...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Funding valuation adjustment (fva) articles
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Dealers do not often ask regulators to intervene in the derivatives markets, but faced with an insoluble pricing headache, and no way to defend themselves, they’re seeking help. And some clients are now asking whether the market has simply become too...
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Disparate – but intimately related – adjustments to derivatives prices are being put under one umbrella by some dealers, uniting counterparty risk, funding, collateral and capital management in one super-desk. That frightens some treasurers, who see...
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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