Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More John hull 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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