Mats Kjaer

Bloomberg L.P.

39-45 Finsbury Square

City Gate House

London, EC2A 1PQ

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 2,715

SSRN RANKINGS

Top 2,715

in Total Papers Downloads

11,090

CITATIONS
Rank 16,371

SSRN RANKINGS

Top 16,371

in Total Papers Citations

21

Scholarly Papers (9)

1.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 2,165 (2,890)
Citation 9

Abstract:

Counterparty risk, Credit Valuation Adjustment, Funding costs, PDE, Feynman-Kac Theorem

2.

Funding Costs, Funding Strategies

C. Burgard, M. Kjaer. Funding Costs, Funding Strategies, Risk, 82-87, Dec 2013.
Number of pages: 17 Posted: 22 Mar 2012 Last Revised: 15 Jan 2015
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 1,879 (2,754)
Citation 2

Abstract:

Counterparty risk, CVA, FVA, Funding, Collateral, PDE, Feynman-Kac theorem

3.

In the Balance

C. Burgard, M. Kjaer. In the balance, Risk, November, 72-75, 2011.
Number of pages: 12 Posted: 19 Mar 2011 Last Revised: 07 Aug 2014
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 1,519 (5,509)
Citation 7

Abstract:

Derivative funding cost adjustment, CVA, Central funding unit, Balance sheet management

4.

The FVA Debate: In Theory and Practice

Number of pages: 4 Posted: 06 Oct 2012
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 986 (11,413)
Citation 1

Abstract:

Funding valuation adjustment, FVA

5.

CVA and FVA with funding aware close outs

Number of pages: 7 Posted: 06 Oct 2012
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 447 (33,072)
Citation 2

Abstract:

Counterparty risk, Closeout rules, CVA, FVA, Funding, PDE, Feynman-Kac theorem

6.

Derivatives Funding, Netting and Accounting

Number of pages: 11 Posted: 01 Feb 2015 Last Revised: 20 Mar 2017
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 239 (31,083)

Abstract:

Derivatives, Funding, Netting, Accounting, FVA, XVA, DVA, CVA, FTP

7.

KVA from the beginning

Number of pages: 11 Posted: 18 Sep 2017 Last Revised: 22 Sep 2017
Mats Kjaer
Bloomberg L.P.
Downloads 0 (441,342)

Abstract:

Regulatory capital, Valuation adjustments, Balance sheet modelling, indifference pricing

8.

Consistent XVA Metrics Part I: Single-Currency

Number of pages: 23 Posted: 15 Mar 2017 Last Revised: 10 Jun 2017
Mats Kjaer
Bloomberg L.P.
Downloads 0 (120,300)

Abstract:

Shareholder and Firm Values, Valuation Adjustments, Counterparty Risk, Collateral, CSA Discounting, Bloomberg MARS XVA

9.

Consistent XVA Metrics Part II: Multi-Currency

Number of pages: 24 Posted: 15 Mar 2017 Last Revised: 10 Jun 2017
Mats Kjaer
Bloomberg L.P.
Downloads 0 (167,761)

Abstract:

Shareholder and Firm Values, Valuation Adjustments, Counterparty Risk, Collateral, CSA Discounting, Cross Currency Basis Spreads, Bloomberg MARS XVA

Other Papers (1)

Total Downloads: 184    Citations: 2
1.

Addendum to: 'PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs'

Number of pages: 3 Posted: 19 Jul 2012
Christoph Burgard and Mats Kjaer
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 122
Citation 2

Abstract:

Counterparty risk, Credit Valuation Adjustment, Funding costs, PDE, Feynman-Kac Theorem