Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
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References listed on IDEAS
- Damiano Brigo & Massimo Morini, 2010. "Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions," Papers 1011.3355, arXiv.org.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
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- Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2012-10-27 (Banking)
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