Christoph Burgard

Bank of America - Bank of America Merrill Lynch

London

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
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SSRN RANKINGS

Top 2,802

in Total Papers Downloads

12,630

CITATIONS
Rank 6,643

SSRN RANKINGS

Top 6,643

in Total Papers Citations

84

Scholarly Papers (7)

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 3,592 (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 3,440 (2,810)
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 2,230 (5,889)
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 1,422 (12,419)
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 831 (27,859)
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 763 (31,312)
Citation 6

Abstract:

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

7.

Efficient Pricing and Super Replication of Corridor Variance Swaps and Related Products

Number of pages: 25 Posted: 12 Apr 2017
Christoph Burgard and Olaf Torne
Bank of America - Bank of America Merrill Lynch and Barclays Capital
Downloads 352 (83,328)
Citation 1

Abstract:

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Corridor variance swap, conditional variance swap, super replication, model independent replication, hedging error

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