Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of Financial Regulation and Compliance 23 (2015) 1, pp. 31-54
Purpose – This report aims to investigate the approaches taken by financial institution to implement and compute the funding valuation adjustment (FVA). FVA can be defined as the incremental cost attributable to trades with non-collateralised counterparties. This cost emerges related to the...