FVA: the story so far
Funding valuation adjustment, or FVA, has been the subject of heated debate among academics, regulators and practitioners alike. One of many contentious concepts covered by the general term XVA, it is intended to ensure banks account properly for the cost of posting collateral on derivatives transactions. But the question of how and whether FVA should be applied, and its practical implications, are still as live now as they were five years ago – applying FVA can make a difference of hundreds of millions of dollars to a bank’s bottom line.
Catch up on the debate by reading Risk.net’s agenda-setting coverage below.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
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Funding spreads to raise FVA and MVA; netting splits to hit CVA
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Quants propose KVA and FVA accounting framework based on Solvency II regulation
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Hull and White see splits on FVA, MVA, KVA as irreconcilable
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Pricing experts defend practices that resulted in huge FVA losses
Read moreBanks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
Read moreFVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Read moreHow FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades
Read moreYear of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Read moreSupervisors need to understand XVAs – OCC official
Benhart confirms OCC examiners are looking at valuation adjustments
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Albanese and Andersen elaborate on controversial Risk article
Read moreKVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
Read moreCutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
Read moreFVA models overstate costs – Risk.net poll
Just over two-thirds say the current FVA approach is wrong
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Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
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From ING to Danske Bank, regional players are taking part in the FVA debate, but practices are mixed
Read moreCutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Read moreCutting edge introduction: FVA out of balance
Some quants are arguing FVA should not be part of earnings
Read moreFVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Read moreFVA, correlation, wrong-way risk: EU stress test’s hidden gems
How much margin is missing in sovereign swaps? The stress test had the answer
Read moreRisk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
Read moreDealers charging FVA on collateralised swaps
If collateral cannot easily be repoed, dealers say funding charge should apply
Read moreThe black art of FVA, part II: Conditioning chaos
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
Read moreThe black art of FVA: Banks spark double-counting fears
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 standard practice, and there are fears of double-counting. By…
Read moreQuant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
Read moreThe FVA debate continues: Hull and White respond to their critics
The FVA debate continues
Read more