Regulatory-optimal funding

A treasury viewpoint on the funding optimization problem


Trading desks that require funding typically must pay above the risk-free rate. This has led some to add a funding valuation adjustment (FVA) to derivatives prices, and to a heated debate over the legitimacy of this practice (Hull & White 2012). Some firms are now starting to report explicit FVA line items. However, the FVA literature treats the funding curve as an input to the model (Burgard & Kjaer 2011; Morini & Prampolini 2011). This can vary from the firm's senior unsecured debt to

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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options

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