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Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
http://hdl.handle.net/2261/39553
http://hdl.handle.net/2261/39553068977a0-ae22-4d37-bfbb-c211667b3eb6
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 | Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | swap | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | collateral | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | derivatives | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Libor | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | currency | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | OIS | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | EONIA | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Fed-Fund | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | CCS | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | basis | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk management | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | HJM | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | FX option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | CSA | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | CVA | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | term structure | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
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× Takahashi, Akihiko |
|||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization as well as the associated CVA. We have presented approximate expressions for various cases using Gateaux derivative which allow straightforward numerical analysis. Numerical examples for CCS (cross currency swap) and IRS (interest rate swap) with asymmetric collateralization were also provided. They clearly show the practical relevance of sophisticated collateral management for financial firms. We have also discussed some generic implications of asymmetric collateralization for netting and resolution of information. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | First version: November 30, 2010 / Revised in April and December 2011. | |||||
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-781, 発行日 2010-12 |
|||||
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 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
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/2010/2010cf781ab.html |