Abstract
The “risk-free” rate is at the heart of derivative valuations in the form of discounting of future cash flows or evaluating investment returns. In the following we discuss the so-called “risk-free” rate, OIS and LIBOR curves.
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Notes
See Kenyon, C. and Green, A., “Regulatory Costs Break Risk Neutrality”, Risk, August, 2014; “Risk-Neutral Pricing–Hull and White Debate Kenyon and Green”, Risk, October, 2014.
See for example, M. Cameron (2012), ‘Banks Tout Break Clauses as Capital Mitigant’, Risk, March, 2012.
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© 2015 Dongsheng Lu
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Lu, D. (2015). CVA Primer and Credit Default. In: The XVA of Financial Derivatives: CVA, DVA and FVA Explained. Financial Engineering Explained. Palgrave Macmillan, London. https://doi.org/10.1057/9781137435842_4
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DOI: https://doi.org/10.1057/9781137435842_4
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-43583-5
Online ISBN: 978-1-137-43584-2
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