Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
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References listed on IDEAS
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More about this item
KeywordsDiscounting; Valuation; Counterparty Risk; Collateral; Netting; CVA; DVA; Bond; Swap; Credit Risk; Own Credit Risk; Wrong Way Risk; Liquidity Risk;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-11 (All new papers)
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