Funding valuation adjustment (fva)
UBS is shutting down large chunks of its fixed-income business – the first dealer to announce such a dramatic step – but some of its now-unwanted trades could be difficult to exit. Risk looks at the...
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
More Funding valuation adjustment (fva) articles
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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