Funding valuation adjustment (FVA)
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
How FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
MVA will be a ‘game-changer’, say valuation experts
Leap in initial margin will cut CVA, FVA and KVA, but generate new funding effects
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Supervisors need to understand XVAs – OCC official
Benhart confirms OCC examiners are looking at valuation adjustments
Albanese: crushing capital costs
Having tackled FVA, Claudio Albanese is now focused on capital optimisation
FVA – what's wrong, and how to fix it
Albanese and Andersen elaborate on controversial Risk article
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams