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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 |
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Building | SMG |
Room | 315 |
Contact Name | Drew Quinton |
Phone | 6173586078 |
Contact Email | drewq@bu.edu |
Contact Organization | Math Finance |
Fees | Free |
Speakers | John Hull |