Cutting Edge introduction: another FVA?


Over the past few years, quants have been fighting about whether to include funding costs in derivatives prices, through a funding valuation adjustment (FVA) closely related to counterparty risk. For many, a starting point was an article published in the February 2010 issue of Risk, Funding beyond discounting: collateral agreements and derivatives pricing (Risk February 2010, pages 98–102) by Vladimir Piterbarg, global head of quantitative finance at Barclays in London. That article showed that

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