  This paper investigates calculations of robust funding valuation adjustment
(FVA) for over the counter (OTC) derivatives under distributional uncertainty
using Wasserstein distance as the ambiguity measure. Wrong way funding risk can
be characterized via the robust FVA formulation. The simpler dual formulation
of the robust FVA optimization is derived. Next, some computational experiments
are conducted to measure the additional FVA charge due to distributional
uncertainty under a variety of portfolio and market configurations. Finally
some suggestions for future work, such as robust capital valuation adjustment
(KVA) and margin valuation adjustment (MVA), are discussed.
