Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
CLICK HERE TO VIEW THE PDF
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties. As a special case, they determine the asymmetric and non-additive funding strategy that corresponds to the recent funding valuation adjustment accounting proposal in Albanese, Andersen & Iabichino (2015). The authors contrast their approach with symmetric funding strategies that recycle positive cash for other funding purposes, which generate higher shareholder
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Banking
Risk Management
Litigation threats seen delaying SEC climate disclosure rules
Efforts to demonstrate materiality of exposures to investment decision-making is taking longer than expected, say lawyers
Receive this by email