FVA - pricing and accounting

ishakh · February 16th, 2015, 7:56 pm

Paper by Albanese and Andersen - "Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option"Any thoughts, in particular on their statement that fair value should not include a funding adjustment? Also, the statement that the current "FCA/FBA" method of accounting for funding cost should be replaced by their proposed "FVA/FDA" method?Thanks.

ishakh · February 17th, 2015, 8:11 pm

Found this recent interesting paper by Burgard and Kjaer (B&K) http://papers.ssrn.com/sol3/papers.cfm? ... 534011They identify a funding strategy that is consistent with a (slightly modified) Albanese and Andersen scheme, it's "limitations" etc. Any thoughts appreciated.