Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
Year of publication: |
2015
|
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Authors: | Nauta, Bert-Jan |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 2, p. 1-30
|
Subject: | Valuation | funding costs | liquidity risk | CVA | DVA | FVA | balance sheet | Derivat | Derivative | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitalkosten | Cost of capital | Bankenliquidität | Bank liquidity |
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