There have been some fundamental changes in how people price derivatives in recent years. The move to overnight indexed swap discounting and the impact of multi-currency credit support annexes is a case in point. There has also been a larger emphasis on credit valuation adjustment and debit valuation adjustment, largely driven by regulatory change. More recently, there's been a lively debate on whether funding valuation adjustment, or FVA, should be considered when pricing derivatives.
But one o
The week on Risk.net, March 10-16 2018Receive this by email