Funding valuation adjustment (FVA)
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
End-users face extra unwind costs from CSA rate floors
Dealers demanding compensation for extra funding costs
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
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