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
*Economic Capital Projections
*Transfer pricing and earnings management
*Reverse stress testing
*Unconditional sensitivities and hedging strategies
*XVA metrics for exchanges
Published date16 June 2015
Massimo Morini4 March 2014
Stéphane Crépey7 March 2014
Andrea Prampolini12 March 2014
Luis Manuel García Muñoz1 April 2014