Valuing Derivatives: Funding Value Adjustments and Fair Value
研究银行在衍生品估值中是否应进行融资价值调整（FVA），发现仅当信用利差不反映违约风险时FVA才合理，且FVA可能引发交易员与会计师冲突及套利机会。
The authors examined 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 show that an FVA can lead to conflicts between traders and accountants. The types of transactions a bank enters into with end users will depend on how high its funding costs are. Furthermore, an FVA can give rise to arbitrage opportunities for end users.