Little consensus on how banks manage FVA
Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments
This article is part of a series benchmarking bank XVA management practices. Sign up for Risk Benchmarking emails here.
It’s more than a decade since funding valuation adjustment (FVA) moved from academic controversy into the mainstream. So, swaps dealers might be expected to have coalesced around a method for adjusting the value of an uncollateralised trade to reflect its lifetime cost of funding
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