XVAs: a gap between theory and practice

Hull and White see splits on FVA, MVA, KVA as irreconcilable

No common ground: economists and practitioners look at XVA through different lenses

John Hull and Alan White are professors of finance at the Joseph L. Rotman School of Management, University of Toronto

In 2012, we wrote an article on funding valuation adjustment (FVA) for the 25th anniversary issue of Risk magazine. The FVA Debate argued dealers should not make FVAs – which are supposed to reflect the funding effects associated with derivatives collateral posting – and generated a huge amount of interest, much of it from people who disagreed with us.1

The debate continues

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

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