The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
When we wrote our article arguing that, contrary to industry practice, derivatives prices should not include a so-called funding valuation adjustment (FVA) to reflect the cost to dealers of funding their hedging portfolios, the interest it would generate never occurred to us (Risk25 July 2012, pages 83–85, Risk September 2012, pages 18–22, and pages 23–24). Much to our surprise, we have been inundated with responses from practitioners all over the world, on both sides of the argument. It seems
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
High-frequency flap over CME’s Aurora data centre
FIA Boca 2023: Exchange group’s migration to Google’s cloud could render HFT networks redundant
Pimco nearly halves FX forwards book in Q4
Counterparty Radar: West Coast manager’s 45% cuts send Morgan Stanley to fifth place in dealer rankings
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
DTCC’s blockchain for CDS trades finds no takers
Clients shun DLT connectivity to centralised swaps database in favour of the cloud
Strict term SOFR trading rules ‘permanent’ says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
