{"created":"2021-03-01T07:02:50.678696+00:00","id":42895,"links":{},"metadata":{"_buckets":{"deposit":"98e6e013-b838-483b-9495-6a77cb8c1f06"},"_deposit":{"id":"42895","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42895"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042895","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-781","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"First version: November 30, 2010 / Revised in April and December 2011.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf781ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, University of Tokyo"},{"subitem_text_value":"Institute of Statistical Mathematics"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"98644","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98645","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"swap","subitem_subject_scheme":"Other"},{"subitem_subject":"collateral","subitem_subject_scheme":"Other"},{"subitem_subject":"derivatives","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor","subitem_subject_scheme":"Other"},{"subitem_subject":"currency","subitem_subject_scheme":"Other"},{"subitem_subject":"OIS","subitem_subject_scheme":"Other"},{"subitem_subject":"EONIA","subitem_subject_scheme":"Other"},{"subitem_subject":"Fed-Fund","subitem_subject_scheme":"Other"},{"subitem_subject":"CCS","subitem_subject_scheme":"Other"},{"subitem_subject":"basis","subitem_subject_scheme":"Other"},{"subitem_subject":"risk management","subitem_subject_scheme":"Other"},{"subitem_subject":"HJM","subitem_subject_scheme":"Other"},{"subitem_subject":"FX option","subitem_subject_scheme":"Other"},{"subitem_subject":"CSA","subitem_subject_scheme":"Other"},{"subitem_subject":"CVA","subitem_subject_scheme":"Other"},{"subitem_subject":"term structure","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42895","relation_version_is_last":true,"title":["Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.863552+00:00"}