FVA in presence of stochastic funding spreads, Inititial Margins and imperfect collateralisation conditions.
Since the birth of CSA discounting during the GFC, major regulatory changes have been reshaping collateral practices in a way that challenges the fundamental assumptions of the method.
Agenda:
- FVA for economic value & incremental pricing
- FVA via CSA discounting or Exposure simulation
- Funding spreads and exposure co-dependence
- Collateralisation regimes in the New Normal and Initial Margins
Global Derivatives 2014 - Did Basel put the final nail in the coffin of CSA Discounting ?
1. Did Basel put the final nail in the coffin of
CSA Discounting ?
Amsterdam - May 15th, 2014
Alexandre Bon, Murex
FVA in presence of imperfect collateralisation, IMs and variable funding spreads