Banks at risk of FVA arbitrage, say Hull and White


Banks that include a funding valuation adjustment (FVA) in derivatives prices may be vulnerable to predatory customers, according to two academics – a claim that is already being attacked by traders.

John Hull and Alan White, professors of finance at the University of Toronto, whose article in Risk last year ignited a fierce debate over whether derivatives prices should include FVA, say in a new paper that the pricing disparities it creates present an arbitrage opportunity that enables other mar

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: