FVA should be included in derivatives pricing, say survey respondents

Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored

Funding valuation adjustment (FVA) should be included in derivatives pricing, according to a majority of Risk.net readers – a view that conflicts with academics John Hull and Alan White, who feel funding costs should be ignored.

The issue burst into life earlier this year, when Hull and White contributed an article to Risk that argued traders should disregard FVA when making trading decisions. Some other academics agreed – if the cost of funding is taken into account, then it would essentially