英文标题：
《Regulatory-Optimal Funding》
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作者：
Chris Kenyon and Andrew Green
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最新提交年份：
2014
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英文摘要：
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.
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中文摘要：
资金是交易台的成本，他们将其视为投入。目前与FVA相关的文献也反映了这一点，它们也将融资成本作为一种投入，通常是恒定的，并且总是风险中性的。然而，从财政部的角度来看，这条融资曲线是产出。财政部必须考虑监管机构要求的流动性缓冲，以及风险中性（Q）和实际措施（P）。我们以监管要求为约束条件，描述了财政部融资问题，并针对这两种措施进行了优化。我们为Q和P制定了理论上最优的策略，然后在四个市场（美元、日元、欧元、英镑）中展示了一种组合方法。由于我们处理物理测量，我们开发了适当的统计测试，并通过组合方法，证明对冲基金在样本外有非常显著的改善（p<0.00001），达到了完美信息标准的44%到71%。因此，监管流动性要求改变了融资问题和融资成本。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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