Collateral option valuation made easy

Vladimir Sankovich, Qinghua Zhu
30 Sep 2015

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

It is by now well known that the terms of collateral posting between counterparties influence prices of derivatives contracts. These terms are typically documented in Credit SupportAnnexes(CSAs). Some CSAs allow the posting party to choose a currency (from a pre-agreed-upon set) in which collateral will be delivered.We refer to this optionality as the cheapest-to-deliver (CTD) funding option. The presence of this option may significantly alter the profile of the appropriate funding curve and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]