Funding valuation adjustment (FVA)
Scotiabank takes C$116m XVA charge
Introduction of centralised valuation platform altered fair value of uncollateralised positions
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
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