Funding valuation adjustment (FVA)
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
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
Efficient XVA management: pricing, hedging and allocation
Kenyon and Green show how certain technical elements simplify XVA management
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
US regulator asks banks for FVA information
OCC requests info on funding spreads, model validation and more
Canada to collateralise cross-currency swaps
Finance ministry hopes two-way CSAs will cut costs and risks on hefty swaps flows
FVA models overstate costs – Risk.net poll
Just over two-thirds say the current FVA approach is wrong
Small banks underpricing FVA, dealers claim
Dealers claim to be losing trades because smaller rivals are mispricing
Putting FVA in a cage
If banks can't standardise funding charges, accountants or regulators should step in
The black art of FVA, part III: a $4 billion mistake?
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
FVA: How six smaller banks do it
From ING to Danske Bank, regional players are taking part in the FVA debate, but practices are mixed
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Funding in option pricing: the Black-Scholes framework extended
Wujiang Lou shows the impact of funding costs on option valuation
Basel Committee launches FVA project
US regulators also looking into divergent valuations for uncollateralised swaps
Discounting change magnifies HSBC FVA loss
UK bank's funding charge jumps 75% to $460m
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