Funding Value Adjustments

Author:

ANDERSEN LEIF,DUFFIE DARRELL,SONG YANG

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference56 articles.

1. Financial Intermediaries and the Cross-Section of Asset Returns

2. Albanese Claudio andLeifAndersen 2014 Accounting for OTC derivatives: Funding adjustments and the re‐hypothecation option Working paper Cass School of Business.

3. Albanese Claudio LeifAndersen andStefanoIabichino 2015 FVA accounting risk management and collateral trading Risk Magazine February 64–69.

4. Basel Committee on Banking Supervision 2013 Margin requirements for non‐centrally cleared derivatives Basel Committee on Banking Supervision and Board of the International Organization of Securities Commissions. Available athttp://www.bis.org/publ/bcbs261.pdf.

5. Becker Lukas BAML and Morgan Stanley take FVA losses Risk.net January 22 2015. Available athttps://www.risk.net/risk-management/2390522/baml-takes-497m-fva-loss.

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