Logo
Munich Personal RePEc Archive

Risky funding: a unified framework for counterparty and liquidity risk

Morini, Massimo and Prampolini, Andrea (2010): Risky funding: a unified framework for counterparty and liquidity risk.

This is the latest version of this item.

[thumbnail of MPRA_paper_24720.pdf]
Preview
PDF
MPRA_paper_24720.pdf

Download (486kB) | Preview

Abstract

Standard techniques for incorporating liquidity costs into the fair value of derivatives produce counter-intuitive results when credit risk of the counterparty (CVA) and of the investor (DVA) are added to the picture. Here, Massimo Morini and Andrea Prampolini show that a consistent framework can only be achieved by giving an explicit representation to the funding strategy, including associated default risks.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.