NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Funding Value Adjustments

Leif Andersen, Darrell Duffie, Yang Song

NBER Working Paper No. 23680
Issued in August 2017, Revised in March 2018

---- Acknowledgments ----

Andersen is with Bank of America Merrill Lynch. Duffie is with Stanford University Graduate School of Business and NBER. Song is with Stanford University Graduate School of Business. We are grateful for comments from the referees, the associate editor, and the editor, as well as Claudio Albanese, Shalom Benaim, Damiano Brigo, Rupert Brotherton-Ratcliffe, Yann Coatanlem, Stéphane Crépey, Yuanchu Dang, Youssef Elouerkhaoui, Marco Francischello, Jon Gregory, Lincoln Hannah, Burton Hollifield, John Hull, David Lando, Wujiang Lou, Alexander Marini, Martin Oehmke, Andrea Pallavicini, Stephen Ryan, Steven Shreve, Taylor Spears, and Hongjun Yan. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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