John Hull: Discount Rates and Funding Value Adjustments in the Valuation of Derivatives

Many banks use LIBOR and LIBOR swap rates as the proxies for the risk-free rate when non-collateralized derivatives transactions are valued and overnight indexed swap (OIS) rates as proxies for the risk-free rate when collateralized transactions are valued. They also make a funding value adjustment to derivatives prices to reflect their average borrowing costs. This presentation will critically examine both of these practices.

When 4:00 pm to 5:30 pm on Monday, February 25, 2013
Building SMG
Room 315
Contact Name Drew Quinton
Phone 6173586078
Contact Email drewq@bu.edu
Contact Organization Math Finance
Fees Free
Speakers John Hull