Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets

DOI10.1142/S0219024915500144zbMATH Open1337.91108OpenAlexW3124974407MaRDI QIDQ5249757FDOQ5249757

Authors: B. J. Nauta 

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500144

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zbMATH Keywords

valuationliquidity riskbalance sheetCVAfunding costsFVADVA

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking

Cited In (1)

• Liquidity risk in derivatives valuation: an improved credit proxy method

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