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John Hull on the FVA Debate and Liquidity Risk in OTC Derivatives | Numerix Video Blog

Posted by Cristin Riffle on January 22, 2013 at 22:38
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Tags: adjustment, valuation, risk, value, funding
http://blog.numerix.com | ohn Hull joins host Jim Jockle to discuss the FVA debate and the growing challenge of liquidity risk. Hull develops both sides of the OTC derivatives argument around funding value adjustment, as well as the calculation's relationship to other counterparty risk measures such as CVA and DVA. He then addresses the rising challenge of isolating and calculating liquidity risk.

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