Funding valuation adjustment (FVA)
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
A model for the valuation of assets with liquidity risk
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is…
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Margin settlement risk and its effect on CVA
Sponsored feature: CompatibL
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
FVA: the story so far
How Risk.net has covered key developments in funding valuation adjustment
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
‘Significant exposure’, Swiss rates and SIs
The week on Risk.net, March 3–9, 2017
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
UK banks face increased XVA burden after ring-fencing
Funding spreads to raise FVA and MVA; netting splits to hit CVA
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Risk solutions house of the year: SG CIB
Risk Awards 2017: From African nations to Italian corporates, XVAs are an awkward new obstacle
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…
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.