Funding valuation adjustment (fva)
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....
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
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