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- W3124458340 abstract "Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a Treasury point of view. Treasury must consider Regulatory-required liquidity buffers, and both risk-neutral (Q) and physical measures (P). We describe the Treasury funding problem and optimize against both measures, using the Regulatory requirement as a constraint. We develop theoretically optimal strategies for Q and P, then demonstrate a combined approach in four markets (USD, JPY, EUR, GBP). Since we deal with physical measures we develop appropriate statistical tests, and demonstrate highly significant (p<0.00001), out-of-sample, improvements on hedged funding with a combined approach achieving 44% to 71% of a perfect information criterion. Thus regulatory liquidity requirements change both the funding problem and funding costs." @default.
- W3124458340 created "2021-02-01" @default.
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- W3124458340 date "2013-10-12" @default.
- W3124458340 modified "2023-09-27" @default.
- W3124458340 title "Regulatory-Optimal Funding" @default.
- W3124458340 hasPublicationYear "2013" @default.
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