building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the … diffusion of collateral agreements among OTC derivatives market counterparties, and on the consequent change of paradigm for … pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market … abandoned since March 2010 the classical Single-Curve pricing approach, typical of the pre-credit crunch interest rate world …

assets can generate external finance more easily and at lower cost by using these assets as collateral, which supports the …