Funding valuation adjustment (FVA)
This month's cover story illustration uses Dr Frankenstein’s monster as a visual metaphor for dealers’ attempts to apply fair-value accounting to funding valuation adjustment (FVA). In part, that’s...
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...
More Funding valuation adjustment (FVA) articles
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
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues
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.