Funding arbitrage
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
US branches of foreign banks shed $91 billion of reserves in 2018
Drop-off coincides with Fed’s ‘normalisation’ strategy
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs