Browsing: Funding value adjustment

Posts Tagged ‘ Funding value adjustment ’

Swaps Accounting: FVA as a Flawed Convention

Mar 15th, 2016 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Regulatory, Regulatory Environment, Hedge Funds

Leif Anderson, co-head of the global quant group at Bank of America Merrill Lynch, and two co-authors have prepared a draft of a paper that appears to identify an important error in the conventions for adjustments that derivatives dealers make to the disclosed valuations of their swap books.  It soundsRead More