Dealers voiced concerns about how derivatives that are closed out early should be valued, prompting ISDA to review its guidelines. "ISDA needs to clarify whether you use the risk-free or counterparty risk-adjusted close-out value," said Damiano Brigo, a finance professor at King's College. "Either way has problems, but there is a need for consistency in the market." An ISDA spokesman confirmed that the group is looking into the issue.
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