Cyril Durand

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

107

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

An Initial Approach to Risk Management of Funding Costs

Number of pages: 29 Posted: 10 Oct 2014 Last Revised: 15 Dec 2014
Damiano Brigo and Cyril Durand
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 81 (303,224)
Citation 1

Abstract:

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Credit valuation adjustment, CVA, Funding valuation adjustment, FVA, Funding risk adjustment, FRA, Funding risk credit valuation adjustment, FRCVA, Wrong way funding risk, Systemic funding risk, Interest rate swap, Weighted Cost of Funding Spread, WCFS, Term structure of funding costs, Funding loss

2.

Stabilizing Log-Normal Diffusion in View of Compounding Swaps Funding Risk Credit Valuation Adjustment (FRCVA)

Number of pages: 22 Posted: 31 Oct 2015
Cyril Durand
Imperial College London - Department of Mathematics
Downloads 26 (488,462)

Abstract:

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Fenton-Wilkinson, Gauss-Hermite, compounding swap, Funding Risk Credit Valuation Adjustment, FRCVA.