Funding valuation adjustment (FVA)
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Credit Suisse takes Sfr279 million FVA loss
Credit Suisse becomes the fifteenth bank known to have taken an FVA charge
Cutting edge introduction: FVA out of balance
Some quants are arguing FVA should not be part of earnings
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Morgan Stanley takes $468m FVA loss
US bank takes one-off charge to reflect cost of uncollateralised receivables
BAML takes $497m FVA loss
US bank becomes thirteenth to reflect cost of uncollateralised trades
Quants of the year: Christoph Burgard and Mats Kjaer
Risk Awards 2015: Barclays quants put FVA on solid ground
Risk solutions house of the year: Societe Generale
Risk Awards 2015: Bank arranged record margin loan in 30 days
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
FVA, correlation, wrong-way risk: EU stress test’s hidden gems
How much margin is missing in sovereign swaps? The stress test had the answer
EU stress tests show €14bn funding burden on Italy swaps
Fourteen banks had net exposure to Italy in EU tests, implying huge funding costs
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding
UBS takes Sfr267 million FVA charge
Swiss bank takes FVA charge and removes DVA double-count
Citi takes $474 million FVA charge
US bank becomes tenth to incorporate effects of funding
Dealers threaten to charge for 0% CSA floors
FVA could result from asymmetry between cleared and bilateral trades
Risk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
Regulatory costs break risk neutrality
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory…
UK utilities weigh creative inflation-hedge revamps
Yorkshire Water among the firms said to be considering inflation repacks
Trends in risk management
Sponsored survey analysis: SunGard
Tarf trouble in Taiwan: Sliding renminbi threatens heavy losses
Taiwan's regulator warns banks about structured hedges
Dealers charging FVA on collateralised swaps
If collateral cannot easily be repoed, dealers say funding charge should apply
FVA is looking more like a pet than a monster
Auditors are allowing banks to sidestep problems
The 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
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem