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FVA / fully collateralized netting set [duplicate]

Usually a standard FVA example starts with an uncollateralized netting set that is hedged via a collateralized netting set, and because we have costs/benefits from the collateral, we say the FVA ...
user2743931's user avatar
1 vote
0 answers

Is Piterbarg's FVA equation generally applicable

Piterbarg in Funding beyond discounting: collateral agreements and derivatives pricing using Black Scholes derives the value of an option that is not perfectly collateralised as an FVA adjustment to ...
Trent Gm's user avatar
1 vote
1 answer

FVA for a perfectly collateralised trade

Consider a perfectly collateralised swap. Numerous sources discuss how FVA arises from banks having to fund collateral at a spread to the CSA rate. One example here: The asymmetric nature of this ...
Trent Di's user avatar
  • 125
2 votes
0 answers

Relationship between FTP curve and FVA (Funding Value Adjustment) [closed]

By any way, does anyone know the relation of FTP curves constructed in bank to FVA (Funding Value Adjustments). It'll be good if anyone could share some references here! Thanks!
Benedict's user avatar
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1 vote
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FVA demonstration? [duplicate]

In the well-known article by Mr. Piterbarg "Funding Beyond Discounting". he demonstrates that the price of a derivative product in a multi-curve universe: Who also expresses it but without ...
SIMO's user avatar
  • 51
3 votes
2 answers

2 Ways to Define/Calculate "FVA"? - Same or Different? (Simple XVA Question)

I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the difference in the net present ...
Curiosity's user avatar
2 votes
1 answer

FVA and DVA overlap (intuitive explanation)

Can anybody, in the most intuitive way possible explain why there is an FVA DVA overlap, specifically why DVA and FBA are similar? Note my mathematical ability is only to bachelor degree level, so go ...
Tizai's user avatar
  • 21
4 votes
0 answers

Close-out in practice: default settlements and counterparty models

Any model on counterparty risk for derivative contracts needs to make an assumption on the close-out convention, that is the rule used to determine at which value a defaulted derivative transaction ...
Daneel Olivaw's user avatar
1 vote
1 answer

How to construct a GBP FVA curve from a USD FVA curve

Our business funds itself in 2 currencies, USD and ZAR. As a consequence we have a USD funding curve. I need to price a GBPZAR cross-currency swap (XIRS) against a counterparty with which we have no ...
acchan94's user avatar
0 votes
1 answer

Optimising PnL on an interest rate swap

I recently just got asked the below question. Please help. "You are about to execute a zero fixed rate vs. Float rate swap under daily cash margining with a client in a normal swap rate curve ...
acchan94's user avatar
3 votes
0 answers

Hedging XVA sensitivities and funding risk

FVA is a hot topic today and I've been thinking on how its managed inside a treasury department. Although the pricing/calculation is well covered in academic material and there is some sort of ...
Jose Pedro Melo's user avatar