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

DOI10.1142/S0219024915500144MaRDI QIDQ5249757zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

valuationliquidity riskbalance sheetCVAfunding costsFVADVA

Mathematics Subject Classification ID

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

Recommendations

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• Liquidity-adjusted risk measures

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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