Quants call for Isda to clarify close-out values

Damiano Brigo

The International Swaps and Derivatives Association needs to provide clarity on whether counterparty risk adjustments should be included when settling derivatives contracts upon termination, quants say – but they warn that either of the obvious answers could exacerbate systemic risk in a crisis.

In a technical paper published this month by Risk, Damiano Brigo, professor of finance at King's College London, and Massimo Morini, head of credit models and co-ordinator of quantitative research at

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