RVA proving a struggle for derivatives counterparties

In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades


There have been some fundamental changes in how people price derivatives in recent years. The move to overnight indexed swap discounting and the impact of multi-currency credit support annexes is a case in point. There has also been a larger emphasis on credit valuation adjustment and debit valuation adjustment, largely driven by regulatory change. More recently, there's been a lively debate on whether funding valuation adjustment, or FVA, should be considered when pricing derivatives.

But one

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