Net Stable Funding Ratio: Impact on Funding Value Adjustment

Preprint English OPEN
Siadat, Medya; Hammarlid, Ola;
(2017)
  • Subject: Quantitative Finance - Risk Management | Quantitative Finance - Mathematical Finance

In this paper we investigate the relationship between Funding Value Adjustment (FVA) and Net Stable Funding Ratio (NSFR). FVA is defined in a consistent way with NSFR such that the new framework of FVA monitors the costs due to keeping NSFR at an acceptable level, as we... View more
  • References (12)
    12 references, page 1 of 2

    1. J. Hull, A. White. Valuing derivatives: Funding value adjustments and fair value. Financial Analysts Journal, 2014.

    2. C. Burgard, M. Kjaer. Derivatives Funding Netting, and Accounting. SSRN, 2016.

    3. C. Burgard, M. Kjaer. Funding costs, funding strategies. Risk, 2013.

    4. C. Albanese, L. Andersen. Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option. Social science research network, 2014.

    5. C. Albanese, S. Caenazzo, S. Crepey, Capital and Funding. Social science research network, 2015.

    6. C. Albanese, L. Andersen, S. labichino, The FVA Puzzle: Accounting, Risk Management and Collateral Trading. Social science research network , 2014.

    7. C. Albanese, S. labichino, The FVA Puzzle: Risk Management and Collateral Trading Strategies. Social science research network .

    8. T. Bjork, Arbiterage Theory in Continous Time Oxford University press, Third edition (2014).

    9. P. Brito, Introduction to Dynamic Programming Applied to Economics, 2008

    10. J. C. Hull, Options, futures, and other derivatives, Pearson Education India, ninth edition (2006).

  • Metrics
Share - Bookmark