Funding Value Adjustment, a practitioner's view

Practitioner Lecture Series

The Funding Value Adjustment (FVA) is a correction made to the risk-free price of an OTC derivative to account for the funding cost in an financial institution. There is currently quite an intense controversy in the financial quantitative industry as to whether we should account for it when pricing these financial instruments. This discussion got to its peak with the paper by Hull and White in Risk Magazine, where they argue against it, while it is the practitioner's general consensus to price with FVA. Dr Ruiz will review the current state of the discussion, will explain his view on this matter and will encourage a discussion with the audience so that all points of view are reflected.

Ignacio Ruiz is currently an independent consultant in Quantitative Risk Analytics. Prior to this, he was the head strategist for Counterparty Credit Risk, Exposure Measurement, at Credit Suisse, and the head of Counterparty and Market Risk Analytics, equities, at BNP Paribas. He holds a PhD in Physics from Cambridge University.



Ignacio Ruiz (iRuiz Consulting)

Monday, March 4, 2013 - 18:00
to 19:00