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Keywords: Funding risks
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2015) 32 (3): 298–321.
Published: 03 August 2015
... implications – The results of this paper allow user to identify CVA and FVA, and mark to market their derivatives trades according to the recent market standards. Originality/value – For the first time, a line between the risk-neutral pricing measure and the funding risk premiums is drawn. Also...
