New: Accounting for OTC Derivatives: Funding Adjustments and the...
Banks hold and routinely exercise the option of freely re-hypothecating variation margin across counterparties and trades. However, the emerging FCA/FBA standards for funding cost accounting are mostly...
View ArticleNew: The FVA Puzzle: Accounting, Risk Management and Collateral Trading
We recently introduced the FVA/FDA accounting framework for funding costs, aiming to provide an accounting method that reasonably balances the, often conflicting, concerns of accountants, regulators,...
View ArticleREVISION: BLAS Extensions for Algebraic Pricing Methods
PDE pricing methods such as backward and forward induction are typically implemented as unconditionally marginally stable algorithms in double precision for individual transactions. In this paper, we...
View ArticleNew: Capital and Funding
This paper sets out a framework to manage and account for the costs of capital and funding through a pair of KVA/FVA metrics. While the FVA is the cost of unsecured funding, the KVA depends on a hurdle...
View ArticleNew: The Cost of Clearing
Clearing members face substantial costs for capital as they post Initial Margin (IM) and are required to contribute to the Default Fund (DF) of the Central Counterparty Clearing House (CCP). In this...
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