Net Stable Funding Ratio: Impact on Funding Value Adjustment

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Siadat, Medya; Hammarlid, Ola;
  • 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
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