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

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 individual account here: