Baran, Jaroslav; Witzany, Jiří - In: Politická ekonomie 2014 (2014) 1, pp. 67-99
Market value of derivatives after crisis requires discounting with interest rates that take into account the credit risk of the involved counterparties of the trade. The increase of credit risk is evidenced by the presence of basis swap spreads. Using one curve to both estimating the forward...
