Related papers: Net Stable Funding Ratio: Impact on Funding Value …
Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a…
To address the variability of renewable generation, initiatives have been launched globally to provide faster and more effective frequency responses. In the UK, the National Energy System Operator (NESO) has introduced a suite of three new…
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA).…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we include in our models the common market practices suggested by…
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding spreads surged significantly, which increased due to the…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterparty defaults and funding costs. This typical industrial…
An investor is estimating net present value of a firm project and performs risk analysis. Usually it is created portfolio hierarchies and make comparison of variants of project based on these hierarchies. Then one finds that portfolio which…
Optimal placement of Virtual Network Functions (VNFs) in virtualized data centers enhances the overall performance of Service Function Chains (SFCs) and decreases the operational costs for mobile network operators. Maintaining an optimal…
This paper investigates calculations of robust funding valuation adjustment (FVA) for over the counter (OTC) derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure. Wrong way funding risk can be…
Network Function Virtualization (NFV) has the potential to significantly reduce the capital and operating expenses, shorten product release cycle, and improve service agility. In this paper, we focus on minimizing the total number of…
-The emergence of Network Functions Virtualization (NFV) is bringing a set of novel algorithmic challenges in the operation of communication networks. NFV introduces volatility in the management of network functions, which can be…
Network Function Virtualization (NFV) can cost-efficiently provide network services by running different virtual network functions (VNFs) at different virtual machines (VMs) in a correct order. This can result in strong couplings between…
This article presents FVA and CVA of a bilateral derivative in a coherent manner, based on recent developments in fair value accounting and ISDA standards. We argue that a derivative liability, after primary risk factors being hedged,…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding…
Net Asset Value (NAV) calculation and validation is the principle task of a fund administrator. If the NAV of a fund is calculated incorrectly then there is huge impact on the fund administrator; such as monetary compensation, reputational…
This paper studies the fixed budget formulation of the Ranking and Selection (R&S) problem with independent normal samples, where the goal is to investigate different algorithms' convergence rate in terms of their resulting probability of…
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. Its…