Funding costs and the bilateral counterparty credit risk of derivatives positions have become increasingly hot topics since the beginning of the credit crisis in 2008. It has become standard practice to adjust derivatives prices for the counterparty risk. Similarly, funding costs are increasingly incorporated into derivatives prices one way or another, but the conceptual foundations for such funding adjustments are much less well understood. Read the full article here.
The week on Risk.net, December 2–8, 2016Receive this by email