英文标题：
《Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral》
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作者：
Chris Kenyon and Andrew Green
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最新提交年份：
2014
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英文摘要：
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costly in part because regulations increase the minimum funding tenor. Idiosyncratic costs mean no single measure makes derivatives martingales for all market participants. Hence Regulatory-compliant pricing is not risk-neutral. This has implications for exit prices and mark-to-market.
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中文摘要：
监管规定对持有衍生品征收特殊的资本和融资成本。由于衍生品部门是高风险业务，因此资本要求成本高昂；资金成本高昂的部分原因是法规提高了最低资金期限。特殊成本意味着没有一个单一的衡量标准可以为所有市场参与者提供衍生品鞅。因此，符合监管要求的定价不是风险中性的。这对退出价格和按市值计价有影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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