Quantcast
Channel: MoneyScience: Claudio Albanese's news channel - SSRN > Papers by Claudio Albanese
Browsing latest articles
Browse All 5 View Live

New: Accounting for OTC Derivatives: Funding Adjustments and the...

Banks hold and routinely exercise the option of freely re-hypothecating variation margin across counterparties and trades. However, the emerging FCA/FBA standards for funding cost accounting are mostly...

View Article



New: The FVA Puzzle: Accounting, Risk Management and Collateral Trading

We recently introduced the FVA/FDA accounting framework for funding costs, aiming to provide an accounting method that reasonably balances the, often conflicting, concerns of accountants, regulators,...

View Article

REVISION: BLAS Extensions for Algebraic Pricing Methods

PDE pricing methods such as backward and forward induction are typically implemented as unconditionally marginally stable algorithms in double precision for individual transactions. In this paper, we...

View Article

New: Capital and Funding

This paper sets out a framework to manage and account for the costs of capital and funding through a pair of KVA/FVA metrics. While the FVA is the cost of unsecured funding, the KVA depends on a hurdle...

View Article

New: The Cost of Clearing

Clearing members face substantial costs for capital as they post Initial Margin (IM) and are required to contribute to the Default Fund (DF) of the Central Counterparty Clearing House (CCP). In this...

View Article

Browsing latest articles
Browse All 5 View Live




Latest Images