LIQUIDITY RISK, INSTEAD OF FUNDING COSTS, LEADS TO A VALUATION ADJUSTMENT FOR DERIVATIVES AND OTHER ASSETS

DOI10.1142/S0219024915500144zbMath1337.91108OpenAlexW3124974407MaRDI QIDQ5249757

B. J. Nauta

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500144

zbMATH Keywords

valuationliquidity riskbalance sheetCVAfunding costsFVADVA

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking

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