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David Rego

Independent

United States

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

1.

Collateral Optimization: Liquidity & Funding Value Adjustments, Best Practices

Number of pages: 40 Posted: 17 Mar 2015
Benoit Genest, David Rego and Helene Freon
Chappuis Halder & Cie. - London Office, Independent and Independent
Downloads 407 (184,129)
Citation 1

Abstract:

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Collateral Management, Collateral Optimization, Collateral Transformation, Liquidity, Funding, Refinancing, Cheapest-to-deliver collateral, Credit Value Adjustment, Debit Value Adjustment, Liquidity Value Adjustment, Funding Value Adjustment, CSA Discounting, OIS Discounting, Collateral Arbitrage