The FVA Debate: In Theory and Practice
4 Pages Posted: 6 Oct 2012
Date Written: October 5, 2012
In a recent paper John Hull and Alan White have argued that funding cost adjustments should not be included in derivatives pricing, which has triggered a heated debate. Their arguments share some ideas that we have published previously and the purpose of this note is intended to help clarify some of the debate, relate the note of Hull and White to our previous papers on the topic and connect some theoretical lines of argument with some practical considerations.
Keywords: Funding valuation adjustment, FVA
JEL Classification: G13
Suggested Citation: Suggested Citation