Liquidity in the Time of COVID

6 Pages Posted: 6 May 2021

See all articles by Claudio Albanese

Claudio Albanese

Global Valuation

Stefano Iabichino

JP Morgan

Paolo Mammola

Citigroup Global Markets Limited

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

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

Claudio Albanese (Contact Author)

Global Valuation ( email )

9 Devonshire Sq.
London, London EC2M 4YF
United Kingdom

Stefano Iabichino

JP Morgan ( email )

London
United Kingdom

Paolo Mammola

Citigroup Global Markets Limited ( email )

Citigroup Centre
Canada Square
London, E14 5LB
United Kingdom

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