Is FVA a Cost for Derivatives Desks?

by John Hull of University of Toronto, and
Alan White of University of Toronto

July 13, 2012

Abstract: This paper examines whether FVA should be taken into account when derivatives portfolios are valued and when trading decisions are made. It concludes that it should not.

Keywords: FVA, DVA, Derivatives.

Forthcoming in: Risk magazine.

Download paper (263K PDF) 5 pages

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