主 題👮🏼♂️：Funding Value Adjustments (jointly with Leif Andersen and Darrell Duffie)
主講人：Yang Song (宋陽), Ph.D, Graduate School of Business, Stanford University
Yang Song is currently a finance Ph.D at Graduate School of Business, Stanford University. He completed a B.S. in Mathematics from Fudan University and a M.S. in Financial Mathematics from Stanford University. His awards and honors include Jun Liu Mathematics Memorial Award, Top-Ten Excellent Graduate of Fudan University, among many others. His research has spanned a variety of fields, including financial intermediation, macro-finance, over-the-counter (OTC) markets, financial accounting, active asset management, and monetary policy. His research has been covered by media including Bloomberg TV, Bloomberg Business, Risk.
時 間：2016年5月19日（星期四），14:00-16:00
主辦單位：教育部金融創新研究生開放實驗室、意昂2金融研究院
Abstract:We demonstrate that large funding value adjustments (FVAs) being made by derivatives dealers to the disclosed valuations of their swap books are not consistent with any coherent notion of fair market value. Essentially the same funding cost adjustment is a reduction in the dealer's equity value. This reduction in equity value is exactly offset by the sum of an upward adjustment to a dealer's debt valuation (as a wealth transfer from shareholders) and a change in the present value of the dealer's financial distress costs. While others have already suggested that FVA accounting suffers from coherence problems, this paper is the first to identify and characterize these problems in the context of a full structural model of a dealer's balance sheet. In addition to giving an appropriate theoretical foundation for funding value adjustments, our model shows how dealers' bid and ask quotes should be adjusted so as to compensate shareholders for the impact of both funding costs and the dealer's own default risk. We also establish a pecking order for preferred swap financing strategies, characterize the valuation effects of initial margin financing (known as 'MVA'), and provide a new interpretation of the standard debit value adjustment (DVA).
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