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Liquidity risk in derivatives valuation : an improved credit proxy method

Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481

Persistent link: https://www.econbiz.de/10011906396

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

NAUTA, BERT-JAN - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550014-1

the derivative, and the funding valuation adjustment that some authors have proposed to include the cost of funding into …Traditionally derivatives have been valued in isolation. The balance sheet of which a derivative position is part, was … not included in the valuation. Recently however, aspects of the valuation have been revised to incorporate certain …

Persistent link: https://www.econbiz.de/10011279127

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

Persistent link: https://www.econbiz.de/10012050871

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Brigo, Damiano; Pallavicini, Andrea - In: Journal of financial engineering 1 (2014) 1, pp. 1-60

Persistent link: https://www.econbiz.de/10010508128

Marktzinsorientierte Kalkulation von Bankprodukten mit variablen Zins- und Kapitalbindungen : ein Modell zur integrierten Betrachtung von Zins- und Liquiditätskosten auf Grundlage...

Ellenbeck, Robert - 2016 - 1. Auflage

Persistent link: https://www.econbiz.de/10011533413

Sovereign risk, bank funding and investors' pessimism

Faia, Ester - 2016 - This draft: September 2016

Data show that sovereign risk reduces liquidity, increases funding cost and risk of banks highly exposed to it. I build a model that rationalizes this fact. Banks act as delegated monitors and invest in risky projects and in risky sovereign bonds. As investors hear rumors of increased sovereign...

Persistent link: https://www.econbiz.de/10011541421