Funding valuation adjustment (fva)
Capital and liquidity consumption now comes with a cost, and that started to make itself felt this year. Risk staff look back at a selection of the year’s big stories
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Funding valuation adjustment (fva) articles
John Hull and Alan White sparked a heated debate when their article in Risk’s 25th anniversary issue argued funding costs should not be reflected in derivatives prices. Here, they respond to their critics
The funding valuation adjustment traders have been adding to derivatives prices since bank funding costs first blew out in 2008 has proved controversial, putting theory and practice at odds with one another. Royal Bank of Scotland’s Stephen Laughton...
Derivatives desks have been passing along funding costs for uncollateralised trades since bank spreads blew out in the crisis. But a funding-dependent price is subjective – and this is intolerable to some quants and risk managers. A heated debate is...
John Hull has been writing about over-the-counter derivatives for almost 30 years – often with Alan White, a fellow finance professor at the University of Toronto – but he says nothing has generated as much feedback as the article the pair contributed...
Derivatives pricing practices have been overhauled in recent years, with banks becoming more conscious about funding costs. But should dealers take funding valuation adjustment into account when valuing derivatives and making trading decisions? John Hull...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
USA, 9th Dec 2013
USA, 10th Dec 2013
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