In July 2011 Risk Magazine reported that some market operators believe that in 2007 and 2008 Libor rates underestimated the real cost of funding of banks since “some banks were putting in artificially low rates” (Wood, 2011). This is currently the focus of some lawsuits and investigations....

In response to the financial crisis, a plethora of new research appeared which attempted to understand, incorporate, and delineate the most significant changes observed in the market. Editors Massimo Morini and Marco Bianchetti have both experienced first-hand how market patterns and...

The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into...