WEKO3
アイテム
Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
http://hdl.handle.net/2261/35791
http://hdl.handle.net/2261/35791ae529c55-3a6e-48eb-83a4-6f95e81c6ee7
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | swap | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | collateral | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | derivatives | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Libor | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | currency | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | OIS | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | EONIA | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Fed-Fund | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | CCS | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | basis | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk management | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | HJM | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | FX option | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | CSA | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | CVA | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | term structure | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fujii, Masaaki
× Fujii, Masaaki× Shimada, Yasufumi× Takahashi, Akihiko |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98538 | |||||
| 姓名 | 高橋, 明彦 | |||||
| 著者所属 | ||||||
| 値 | Graduate School of Economics, University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Shinsei Bank, Limited | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Subsequenlty published in Risk Magazine, January 2011, 120-125. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-743, 発行日 2010-05 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf743ab.html | |||||
