Global Risk Institute is a preeminent source of ideas on the management of emerging risks and trends for financial services organizations

Publication Library

Research Report

Funding Value Adjustments and Fair Value

Valuing Derivatives: Funding Value Adjustments and Fair Value Related Project: Risk Management & Market Liquidity ABSTRACT The authors examine whether a bank should make a funding value adjustment (FVA) when valuing derivatives. They conclude that an FVA is justifiable only for the part of a company’s credit spread that does not reflect default risk. They... View Article