Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo


The controversy over whether to include a funding valuation adjustment (FVA) when pricing uncollateralised derivatives raged at the Quant Congress Europe conference in London this week – with many disagreeing with the argument put forward by John Hull and Alan White that FVA should be ignored.

Hull and White, both professors at the University of Toronto's Joseph L Rotman School of Management, published an article in Risk's 25th anniversary edition in July arguing that banks shouldn't consider

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] 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

If you already have an account, please sign in here.

Sign up 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: