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The Effects of Credit Risk and Funding on the Pricing of Uncollateralized Derivative Contracts

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Figure

Figure 1. Simulated Exposure; μ = 2%, σ = 25%. Source: Author.
Figure 3 . Term structure of U.S. dollar discount factors. Source: Author.
Figure 5 . Credit Valuation Adjustment, Debit Valuation Adjustment. Source: Author.
Figure 6. Potential Future Exposure at 95% confidence. Source: Author.

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