In the balance

In the balance

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

 

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Risk Management

Hints on quantification approaches

Tiziano Bellini, head of risk integration competence line, international markets at Prometeia, examines the key components of successful model risk management, focusing on the importance of integration, processes, governance and IT solutions to…

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