Sökning: "Ernst Josefsson"

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  1. 1. Incorporating Funding Value Adjustment in Valuation of Derivatives - A case study

    Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

    Författare :Per Johansson; Simon Josefsson; [2014-07-02]
    Nyckelord :Funding Value Adjustment; Fair Value; Fair Value Adjustments; Exit Price; Valuation; Over-The-Counter; Derivatives; Funding Cost; Funding Curve.;

    Sammanfattning : The derivatives market is a large, global market that fills an important function in the finan-cial system (Eklund et al., 2012). Before the global financial crisis in 2008, factors such as capital cost, funding cost and counterparty risk were hardly considered when pricing deriva-tives. LÄS MER