In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
CLICK HERE TO VIEW THE PDF
Understanding the interaction between a new derivative contract, its financing and the wider balance sheet during pricing is critical for dealer profitability. For this purpose, Mats Kjaer develops a structural balance sheet model and demonstrates how it can be used to derive consistent firm and shareholder breakeven prices. The latter price often involves a significant capital valuation adjustment, which can be managed statically or hedged dynamically
Incorporating
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
7 days in 60 seconds
Behavioural finance, alt data and risk-free rate problems
The week on Risk.net, June 27–July 3, 2020
Receive this by email