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Discounting, LIBOR, CVA and Funding

https://doi.org/10.1057/9781137268525
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inferred← citeshttps://doi.org/10.2139/ssrn.2103121openalex-extracted
Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting
inferred← citeshttps://doi.org/10.2139/ssrn.2181289openalex-extracted
CDS Pricing Under Basel III: Capital Relief and Default Protection
inferred← citeshttps://doi.org/10.2139/ssrn.2181291openalex-extracted
Will Central Counterparties Become the New Rating Agencies?
inferred← citeshttps://doi.org/10.2139/ssrn.2208755openalex-extracted
Collateral-Enhanced Default Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2220371openalex-extracted
A Note on Discounting and Funding Value Adjustments for Derivatives
inferred← citeshttps://doi.org/10.2139/ssrn.2334393openalex-extracted
Closed Form Approximation of Swap Exposures
inferred← citeshttps://doi.org/10.2139/ssrn.2404255openalex-extracted
Recovering from Derivatives Funding: A Consistent Approach to DVA, FVA and Hedging
inferred← citeshttps://doi.org/10.2139/ssrn.2443445openalex-extracted
VAR and ES/CVAR Dependence on Data Cleaning and Data Models: Analysis and Resolution
inferred← citeshttps://doi.org/10.2139/ssrn.2457786openalex-extracted
A Bond Consistent Derivative Fair Value
inferred← citeshttps://doi.org/10.2139/ssrn.2485436openalex-extracted
A Practical Approach to CVA, DVA and FVA
inferred← citeshttps://doi.org/10.2139/ssrn.2519475openalex-extracted
Portfolio KVA: I Theory
inferred← citeshttps://doi.org/10.2139/ssrn.2545196openalex-extracted
Bail-In and Asset Encumbrance: Implications for Bankss Asset Liability Management
inferred← citeshttps://doi.org/10.2139/ssrn.2575633openalex-extracted
A Note on Evaluation of Derivatives with Collaterals
inferred← citeshttps://doi.org/10.2139/ssrn.2584037openalex-extracted
Efficient Option Pricing Under Levy Processes, with CVA and FVA
inferred← citeshttps://doi.org/10.2139/ssrn.2593037openalex-extracted
Dirac Processes and Default Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2620454openalex-extracted
Accounting for KVA Under IFRS 13
inferred← citeshttps://doi.org/10.2139/ssrn.2703965openalex-extracted
Which Measure for PFE? The Risk Appetite Measure A
inferred← citeshttps://doi.org/10.1002/9781118818589.biblioopenalex-snapshot
Bibliography
inferred← citeshttps://doi.org/10.1002/9781119109440.refsopenalex-snapshot
References
inferred← citeshttps://doi.org/10.1002/9781119161233.biblioopenalex-snapshot
Bibliography
inferred← citeshttps://doi.org/10.1007/978-3-031-80205-8_1openalex-snapshot
Introduction
inferred← citeshttps://doi.org/10.1007/978-3-031-80205-8_2openalex-snapshot
ALM Techniques
inferred← citeshttps://doi.org/10.1007/978-3-032-02685-9_4openalex-snapshot
Curve Calibration and Interpolation
inferred← citeshttps://doi.org/10.1007/978-3-319-33446-2_6openalex-snapshot
Simultaneous Hedging of Regulatory and Accounting CVA
inferred← citeshttps://doi.org/10.1016/b978-0-12-386968-5.00030-3openalex-snapshot
References
inferred← citeshttps://doi.org/10.1057/978-1-137-59442-6_16openalex-snapshot
Quantitative Finance in the Post Crisis Financial Environment
inferred← citeshttps://doi.org/10.1057/jbr.2016.4openalex-snapshot
Bail-in and asset encumbrance - Implications for banks’ asset liability management
inferred← citeshttps://doi.org/10.1080/03085147.2018.1525153openalex-snapshot
Discounting collateral: quants, derivatives and the reconstruction of the ‘risk-free rate’ after the financial crisis
inferred← citeshttps://doi.org/10.1080/14697688.2017.1315166openalex-snapshot
Liquidity risk in derivatives valuation: an improved credit proxy method
inferred← citeshttps://doi.org/10.1142/s0219024915500119openalex-snapshot
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING
inferred← citeshttps://doi.org/10.1142/s2345768614500081openalex-snapshot
A note on discounting and funding value adjustments for derivatives
inferred← citeshttps://doi.org/10.34989/sdp-2016-9openalex-snapshot
A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience
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