Download This PaperLiquidity in the Time of COVID
6 Pages Posted: 6 May 2021
Date Written: May 29, 2020
Abstract
While the 2008 shifted the attention from individual trades to netting-set counterparty risk, the evolving 2020 storyline is driven by liquidity risk at the funding-set level. The COVID turmoil brings General Wrong Way Risk (GWWR) to the fore while the impending IBOR transition amplifies portfolio-wide liquidity risk by nominally decoupling fixing rates from funding costs. This confluence of circumstances reopens the never quite abated debate on the “black art of FVA”.
Keywords: FVA, liquidity risk, funding risk
JEL Classification: G13. G01, G24
Suggested Citation: Suggested Citation
Albanese, Claudio and Iabichino, Stefano and Mammola, Paolo, Liquidity in the Time of COVID (May 29, 2020). Available at SSRN: https://ssrn.com/abstract=3840967 or http://dx.doi.org/10.2139/ssrn.3840967
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.