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タイトル: Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
著者: Fujii, Masaaki
Shimada,Yasufumi
Takahashi, Akihiko
著者(別言語): 高橋, 明彦
キーワード: swap
collateral
derivatives
Libor
currency
OIS
EONIA
Fed-Fund
CCS
basis
risk management
HJM
FX option
CSA
CVA
term structure
発行日: 2010年5月
出版者: 日本経済国際共同センター
抄録: In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the ”choice” of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded ”cheapest-to-deliver” option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.
内容記述: Subsequenlty published in Risk Magazine, January 2011, 120-125.
URI: http://hdl.handle.net/2261/35791
その他の識別子: CIRJE-F-743
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)

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