Derivatives valuation meets risk in post-crisis world

07/11/2013 |

Before the financial crisis, derivatives valuation was generally consistent across the market, without regard to counterparty credit and liquidity risk. With the advent of regulations requiring over-the-counter derivatives to be cleared though a central counterparty and a need for credit and liquidity to be factored into valuation, a new paradigm has taken hold. This article discusses derivatives valuation in the post-crisis environment.

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