Funding valuation adjustment (FVA)
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
More Funding valuation adjustment (FVA) articles
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
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...
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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