Quant Congress Europe: Collateral choice will cause price fragmentation, says Piterbarg
Ability to choose eligible collateral within CSAs means unique prices for the most vanilla derivatives could become a thing of the past, says Vladimir Piterbarg
Obtaining a single, unique price for even simple derivatives products like forward foreign exchange rates may soon become a thing of the past, as dealers start taking the eligible collateral agreed as part of each credit support annex (CSA) agreement into account in their pricing, according to Vladimir Piterbarg, head of quantitative analysis at Barclays.
Speaking at the Quant Congress Europe in
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