Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
You may also like
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks
Clearing members welcome LME default fund cap
But 2022 nickel crisis still makes hedge funds doubt banks would foot the bill for default at all
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
Crypto custody a bit(coin) closer after US accounting U-turn
Federal banking supervisors expected to eventually relax regimes for safeguarding digital assets
Sponsor content
These articles were paid for by a contributing third party.More Information.
More on Risk management
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Clearing members welcome LME default fund cap
But 2022 nickel crisis still makes hedge funds doubt banks would foot the bill for default at all
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Crypto custody a bit(coin) closer after US accounting U-turn
Federal banking supervisors expected to eventually relax regimes for safeguarding digital assets
EU racing to comply with active account rules
Industry wants simpler route to exemptions ahead of ‘challenging’ deadline for new clearing regime
Banks urged to track vendor AI use, before it’s too late
Veteran third-party risk manager says contract terms and exit plans are crucial safeguards
JSCC plans to open JGB clearing to foreign investors
Clearing house aims to boost cleared market liquidity in Japanese government bonds
Large banks safer for CCPs than they get credit for
Plentiful pre-positioned liquidity softens the blow of resolution, new research argues
Most read
- Basel uniformity fades as members defy dress code
- Banks urged to track vendor AI use, before it’s too late
- Japan’s regulator stands firm behind Basel as peers buckle