Funding valuation adjustment (fva)
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
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
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 are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
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
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no stand...
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may p...
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.