Funding valuation adjustment (FVA)
The law of one price is gone
Sponsored statement: Absa
Liquidity & Funding Risk 2013: FVA will be dead in three years, says Hull
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
Banks at risk of FVA arbitrage, say Hull and White
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Replacement costs add to OTC pricing upheaval
Down the rabbit hole
Barclays and JP Morgan among first to centralise ‘XVA’ desks
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Introducing the XVA desk - a treasurer's nightmare
Grand centralisation
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
Quant Congress Europe: No consensus on FVA accounting
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Flexible technology needed to respond to regulatory change, says Fincad
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
The black art of FVA: Banks spark double-counting fears
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting. By…
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
No exit: The problems facing UBS in its fixed income retreat
The stress of unwinding
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
FVA should be included in derivatives pricing, say survey respondents
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
Review of 2012: Basel III starts to bite
Basel III starts to bite
Risk software survey 2012
Coping with complexity
Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
In defence of FVA – a response to Hull and White
In defence of FVA
Traders close ranks against FVA critics
Traders v. theorists