Questions tagged [collateral]
Questions related to collateral, from impact on theoretical valuations to operational aspects of collateral posting.
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Valuing a cross currency basis swap using a third currency as a collateral
Suppose India and South Africa goes into a cross currency basis swap. But the collateral is specified upon USD. How does one value this type of swaps? Or is it even available directly on the markets?
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How to estimate quantitatively the settlement period?
The context of this question is Counterparty Credit Risk. In particular, the modelling of collateral for non-cleared OTC derivatives.
Regulators require collateral amounts, such as Variation Margin ...
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Cash as Collateral in OTC Market
In OTC market Collateral Posting as cash is normal, so when it is said
Collateral Posted as USD CASH
Does that mean Actual amount of currency is posted electronically (or any security is posted) ...
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Collateralized Interest Rate Swap
I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are ...
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Risk-neutral measure(s) under collateralization and funding costs
In Piterbarg (2010) the author presents a modified Black-Scholes model with an economy with a CSA-collateral (OIS) rate $r_C(t)$, a repo rate $r_R(t)$ and considers a derivative $V(t)$ written on a ...
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Collateral replication argument
I'm trying to follow the replication argument in the first page of the following paper
http://www.math.columbia.edu/~fts/Collateralized%20trade%20pricing%20made%20simple%20v1a.pdf
One can however ...
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Which volatility to use in cap pricing with CSA discounting?
I'm currently trying to price a cap on a Libor 3M (US) collateralized in EUR. I understand that my discount curve should be the CSA and the price of a caplet should be using a Black-scholes price:
$$...
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What Is the correct discounting, risky or riskless?
Suppose I can sell a European put in two ways: 1) in a mark to market collateralized market with collateral rate equal to the riskless rate $r$; 2) in a noncollaterized market where I get the payment ...
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Risk-neutral expectation equation with collateral and funding costs
I am looking at a paper by V. Piterbarg, Funding beyond discounting: collateral agreements and derivatives pricing, that you can download on the following link, in which the author adapts the Black-...
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short selling with collateral accounting
I don't know how the accounting works for short selling with collateral:
For example if a stock is \$10 a share and turn out to be $15 a share a week later.
At time 0, you borrow and sell 10 shares ...
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CSA discounting vs OIS discounting
In the fixed income literature, is the CSA discounting the same as OIS discounting? Seems they're referring to the same thing, but couldn't find an explicit statement confirming it.
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One Way CSA Agreements
This is probably an older topic but I don't seem to find any related threads on this forum.
What is the best way to value, let's say, a vanilla IR swap (you receive fixed) that you trade against a ...
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How does rehypothecation cause systemic risk?
I've read in many places that rehypothecation causes systemic risk (not to be confused with systematic risk), but none offer an explanation. Is this because of the daisy-chain effect that would happen ...
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Why is CSA currency OIS rate used in discounting instead of local currency OIS?
I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
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Do taking in account the CSA create convexity effects in your stripping?
When you strip your rate curves using CSA, what kind of convexity effects might appear as a result when computing the CSAed curve from one fixing to another ?
For example if you are valuing an USD ...
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