Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs
  Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk,
  Initial and Variation Margins, Multiple Discount Curves, FVA?   We present a dialogue on Funding Costs and Counterparty Credit Risk modeling,
inclusive of collateral, wrong way risk, gap risk and possible Central Clearing
implementation through CCPs. This framework is important following the fact
that derivatives valuation and risk analysis has moved from exotic derivatives
managed on simple single asset classes to simple derivatives embedding the new
or previously neglected types of complex and interconnected nonlinear risks we
address here. This dialogue is the continuation of the "Counterparty Risk,
Collateral and Funding FAQ" by Brigo (2011). In this dialogue we focus more on
funding costs for the hedging strategy of a portfolio of trades, on the
non-linearities emerging from assuming borrowing and lending rates to be
different, on the resulting aggregation-dependent valuation process and its
operational challenges, on the implications of the onset of central clearing,
on the macro and micro effects on valuation and risk of the onset of CCPs, on
initial and variation margins impact on valuation, and on multiple discount
curves. Through questions and answers (Q&A) between a senior expert and a
junior colleague, and by referring to the growing body of literature on the
subject, we present a unified view of valuation (and risk) that takes all such
aspects into account.

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The categories of this paper are: chao-dyn
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg
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The categories of this paper are: dg-ga
7
The categories of this paper are: hep-th
36
The categories of this paper are: cmp-lg
13
The categories of this paper are: quant-ph
32
The categories of this paper are: atom-ph
11
The categories of this paper are: hep-lat
35
The categories of this paper are: mtrl-th
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The categories of this paper are: comp-gas
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The categories of this paper are: econ
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The categories of this paper are: math-ph
5
The categories of this paper are: gr-qc
12
The categories of this paper are: nucl-th
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The categories of this paper are: nlin