Derivatives funding, netting and accounting

Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties

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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

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