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  • Search: subject:"Collateral Arbitrage"
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Subject
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CSA Discounting 1 Cheapest-to-deliver collateral 1 Collateral Arbitrage 1 Collateral Management 1 Collateral Optimization 1 Collateral Transformation 1 Credit Value Adjustment 1 Debit Value Adjustment 1 Funding 1 Funding Value Adjustment 1 Liquidity 1 Liquidity Value Adjustment 1 OIS Discounting 1 Refinancing 1
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Free 1
Type of publication
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Book / Working Paper 1
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Undetermined 1
Author
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Freon, Helene 1 Genest, Benoit 1 Rego, David 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications,...
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