Before revision:  This  dialogue is the continuation of the previous FAQ "Counterparty Risk, Collateral and Funding FAQ" by Brigo (2011).
After revision:  This framework is important following the fact that derivatives valuation and risk analysis has moved from exotic derivatives managed on simple single asset classes to simple derivatives embedding the new or previously neglected types of complex and interconnected nonlinear risks we address here. This dialogue is the continuation of the previous FAQ "Counterparty Risk, Collateral and Funding FAQ" by Brigo (2011).