Quant Congress Europe: No consensus on FVA accounting

Industry undecided on whether own cost of funds or an industry average funding spread should be used


No standard yet exists for the spread that should be used when accounting for funding valuation adjustment (FVA), potentially allowing different banks to come up with very different values, according to a group of panellists at Risk's Quant Congress Europe event today in London.

"The industry has yet to agree on the correct rate to use, and all the accountants are sitting on the fence because there is no consensus over how it should be done. Different firms have different views, and there are a

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