Stuck with collateral

Vladimir Piterbarg
25 Oct 2013

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Collateral agreements have features that can provide more economic value than just counterparty credit risk mitigation. In particular, credit support annexes (CSAs) that allow for more than one type of asset to be posted as collateral introduce an optionality into the pricing of even the most vanilla instruments (see Piterbarg, 2012, and Fujii & Takahashi, 2011). However, the models studying this have assumed the full collateral balance can be switched from one asset to another on a whim for

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