The Black Art of FVA by Claudio Albanese


The Black Art of FVA


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Presenter: by Claudio Albanese

Discussion on recent developments in the XVA arena, including not only the FVA but also the KVA and MVA. 

FVA is still hotly debated in the financial industry with each bank following different approaches to account for such a charge. A new framework has recently being proposed by Claudio Albanese that allows for lower capital charges and left the media questioning whether banks have overestimated FVA in the last years.

  • FVA, MVA and KVA
  • Accounting treatments
  • Economic Capital Projections
  • Transfer pricing and earnings management
  • Reverse stress testing
  • Credit limits
  • Unconditional sensitivities and hedging strategies
  • XVA metrics for exchanges