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...
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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,...
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.
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