Funding Valuation Adjustments 2014
The Standards Board has identified a lack of consensus over when and how the cost of funding an uncollateralised position in a derivative should be reflected in a valuation of that position. Adjustments to reflect this cost have become known as funding valuation adjustments (FVA). This project is to examine the different approaches taken and to identify what, if any, guidance the Board should be issuing.
Some of the issues are highlighted in the recently approved interim guidance on Credit and Debit Valuation Adjustments (CVA/DVA). This project will examine the topic in greater detail and the outcome of the FVA project may lead to amendments to the CVA/DVA paper.
Working Group Members:
An expert working group was formed in July 2014 to advise the Board.
|Cindy Ma||Project Leader||New York|
|Andrew MacNamara||Houlihan Lokey||New York|
|Maurice McCormack||Ernst & Young||London|
|Moorad Choudhry||Brunel University||London|
|Olivier Moreau||JP Morgan||New York|
|Simon Ibbotson||PRA, Bank of England||London|
|Siobhan Tipping||Ernst & Young||Amsterdam|
|Tanguy Dehapiot||BNP Paribas||London|
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