CUTTING EDGE - Derivatives pricing - Risky funding with counterparty and liquidity charges - Standard techniques for incorporating liquidity costs into the fair value of derivatives produce counter-intuitive results when the credit risk of the counterparty and the investor are added to the picture. Here, the authors show that a consistent framework can only be achieved by giving an explicit ...
| Year of publication: |
2011
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|---|---|
| Authors: | Morini, Massimo ; Prampolini, Andrea |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 3, p. 70-76
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