Workshop view
Back to Shop
WEBINAR - The Black Art of FVA
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
Topic
Credit RiskPublished date
16 June 2015Price
£0.00Related workshops

Massimo Morini
Interest Rate Modelling: Modern Interest Rate Modelling with Collateral, Funding and Credit (Part 2)
4 March 2014
Luis Manuel García Muñoz
XVA: Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA and FVA
1 April 2014