FVA models overstate costs – Risk.net poll

Just over two-thirds say the current FVA approach is wrong

FVA: Risk.net readers think reported losses are too high

Two-thirds of respondents to a Risk.net poll believe banks are using a flawed methodology to incorporate funding costs into derivatives values, resulting in losses that are too high.

Sixty-seven percent of respondents support the argument put forward by three quants in a technical paper in Risk in February, which claimed typical approaches to funding valuation adjustment (FVA) produce significantly inflated costs.

The quants proposed a new approach that cut FVA losses by around two-thirds in

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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 individual account here: