Discounting sensitivities align liquidity forecasting with self-financing replication, while a liquidity valuation adjustment captures settlement lags.
Funding, collateral and hedging: uncovering the mechanics and the subtleties of funding valuation adjust- ments
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Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags
Discounting sensitivities align liquidity forecasting with self-financing replication, while a liquidity valuation adjustment captures settlement lags.