The FVA Debate: In Theory and Practice

4 Pages Posted: 6 Oct 2012

See all articles by Christoph Burgard

Christoph Burgard

Bank of America - Bank of America Merrill Lynch

Mats Kjaer

Bloomberg L.P.

Date Written: October 5, 2012

Abstract

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

Burgard, Christoph and Kjaer, Mats, The FVA Debate: In Theory and Practice (October 5, 2012). Available at SSRN: https://ssrn.com/abstract=2157634 or http://dx.doi.org/10.2139/ssrn.2157634

Christoph Burgard

Bank of America - Bank of America Merrill Lynch ( email )

London
United Kingdom

Mats Kjaer (Contact Author)

Bloomberg L.P. ( email )

39-45 Finsbury Square
City Gate House
London, EC2A 1PQ
United Kingdom

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