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. L...
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
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...
The stress of unwinding
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
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.