Funding valuation adjustment (FVA)

FVA: off the mark

With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices

Risk optimisation: the noise is the signal

Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…