Risky funding with counterparty and liquidity charges

Massimo Morini and Andrea Prampolini
01 Mar 2011

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The pricing of funding liquidity and the pricing of counterparty credit risk are closely related. Companies usually calculate a spread for funding costs that includes compensation for their own risk of default. However, interactions between the two are still poorly understood, while banks are in need of a sound framework to underpin consistent policies for charging funding and credit costs. In this article, we try to provide the cornerstones of a unified consistent framework for liquidity and

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