Funding valuation adjustment (FVA)
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no stand...
More Funding valuation adjustment (FVA) articles
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may p...
The stress of unwinding
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues
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