We extend the model presented in Bonollo et al. by introducing a multiscenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the...

We sketch a framework to theoretically identify the components of the value that a bank should attach to a deal and how to charge them to the relevant departments and/or to the final counterparty (client) by an internal transfer pricing system