Liquidity & Funding Risk 2013: FVA will be dead in three years, says Hull

Graveyard

The growing use of collateral in over-the-counter derivatives trades will kill off funding valuation adjustment (FVA) – and supposed arbitrage opportunities arising from it – within two to three years, according to John Hull, a professor of finance at the University of Toronto. Dealers charge FVA on uncollateralised trades to compensate for the cost of posting collateral on associated hedges, and Hull sparked a fierce debate last year after arguing in an article for Risk that the practice should

To continue reading...

You must be signed in to use this feature.

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 indvidual account here: