Funding valuation adjustment (fva)
Fourteen banks had net exposure to Italy in EU tests, implying huge funding costs
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Capital and funding efficiency is a new discipline for derivatives desks, and there is a shortage of comprehensive systems - so Lloyds Banking Group teamed up with Markit to build one
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.