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New financial regulations including Basel lll, MiFID ll and Dodd-Frank are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. The rapidly evolving market best practice now includes calculating FVA along with CVA to measure the impact of funding and Counterparty Risk. FVA is the latest in a triad of valuation adjustments (CVA, DVA, FVA) which has to be taken into account when profitability of a trade is estimated.
• Measuring trade profitability with CVA, DVA and FVA
• Challenges of trading and hedging CVA and DVA
• Recent developments in modeling and performance optimization
• Requirements and Impact of the proposed regulations on counterparty risk