Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags

Fuente: arXiv

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Bibliographic Details
Main Author:	Fries, Christian P.
Format:	Preprint
Published:	2026
Subjects:	Pricing of Securities Computational Finance Risk Management 91G20 G.3; I.6.8; G.1.4
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2605.00862