Mats Kjaer

Bloomberg L.P.

39-45 Finsbury Square

City Gate House

London, EC2A 1PQ

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 2,652

SSRN RANKINGS

Top 2,652

in Total Papers Downloads

13,223

CITATIONS
Rank 6,336

SSRN RANKINGS

Top 6,336

in Total Papers Citations

88

Scholarly Papers (10)

1.

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 3,596 (2,618)
Citation 27

Abstract:

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

2.

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 3,443 (2,813)
Citation 67

Abstract:

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Counterparty risk, Credit Valuation Adjustment, Funding costs, 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 2,234 (5,891)
Citation 45

Abstract:

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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 1,423 (12,433)
Citation 3

Abstract:

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Funding valuation adjustment, FVA

5.

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 833 (27,833)
Citation 7

Abstract:

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

6.

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 765 (31,293)
Citation 6

Abstract:

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

7.

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 378 (76,958)
Citation 1

Abstract:

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

8.

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 243 (124,248)
Citation 1

Abstract:

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

9.

KVA from the Beginning

Number of pages: 13 Posted: 18 Sep 2017 Last Revised: 15 Mar 2019
Mats Kjaer
Bloomberg L.P.
Downloads 185 (161,069)
Citation 3

Abstract:

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

10.

KVA Unmasked

Number of pages: 17 Posted: 19 Mar 2018 Last Revised: 15 Mar 2019
Mats Kjaer
Bloomberg L.P.
Downloads 123 (226,065)

Abstract:

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Valuation Adjustments, Fair Valuation, Indifference Pricing, Regulatory Capital

Other Papers (1)

Total Downloads: 218
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 218

Abstract:

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