In the balance

Funding costs and counterparty credit risk adjustments have become increasingly important contributions to the total value of derivatives positions. Based on a recently developed derivatives valuation framework that incorporates these two effects in a unified way, Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet. They also demonstrate two ways in which the funding cost adjustment can be eliminated, resulting in symmetric derivatives values

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.

In the balance


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here