In recent years, derivatives pricing has become increasingly complex, assuming a far greater significance than it had previously. In this sponsored statement, Wayne Dennehy, co-head markets structuring and quantitative analysis, Kumeshen Naidoo, risk solutions group, and Shameer Sukha, co-head markets structuring at Absa explain the different factors and calculations that lead to banks quoting different prices on the same contract.
Source: Risk magazine | 17 Oct 2013
Topics: South Africa, Counterparty risk, Risk South Africa, Credit valuation adjustment (CVA), Funding valuation adjustment (FVA), Debit valuation adjustment (DVA), Absa Capital, Credit support annex (CSA)
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