Choice of Collateral Currency
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References listed on IDEAS
- Michael Johannes & Suresh Sundaresan, 2007. "The Impact of Collateralization on Swap Rates," Journal of Finance, American Finance Association, vol. 62(1), pages 383-410, February.
- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Note on Construction of Multiple Swap Curves with and without Collateral," CIRJE F-Series CIRJE-F-630, CIRJE, Faculty of Economics, University of Tokyo.
- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies," CIRJE F-Series CIRJE-F-698, CIRJE, Faculty of Economics, University of Tokyo.
Citations
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Cited by:
- Han, Meng & He, Yeqi & Zhang, Hu, 2013. "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper 44495, University Library of Munich, Germany.
- Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
- Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
- Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"Kriging of financial term-structures,"
European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
- Areski Cousin & Hassan Maatouk & Didier Rullière, 2016. "Kriging of financial term-structures," Post-Print hal-01206388, HAL.
- Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2015. "A Note On The Self-Financing Condition For Funding, Collateral And Discounting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-10.
- Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
- Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
- Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
- Masaaki Fujii & Akihiko Takahashi, 2015. "Choice of Collateral Currency Updated--A market model for the benchmark pricing--," CIRJE F-Series CIRJE-F-988, CIRJE, Faculty of Economics, University of Tokyo.
- Masaaki Fujii & Akihiko Takahashi, 2010. "Modeling of Interest Rate Term Structures under Collateralization and its Implications," CARF F-Series CARF-F-230, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2010.
- Masaaki Fujii & Akihiko Takahashi, 2015. "Choice of Collateral Currency Updated -A market model for the benchmark pricing-," CARF F-Series CARF-F-371, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Minhaj Mahmud & Yasuyuki Sawada, 2015. "Happiness in Life Domains: Evidence from Bangladesh Based on Parametric and Non-Parametric Models," CIRJE F-Series CIRJE-F-987, CIRJE, Faculty of Economics, University of Tokyo.
- Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
- St'ephane Cr'epey & R'emi Gerboud & Zorana Grbac & Nathalie Ngor, 2012. "Counterparty Risk and Funding: The Four Wings of the TVA," Papers 1210.5046, arXiv.org.
- Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"Kriging of financial term-structures,"
European Journal of Operational Research,
Elsevier, vol. 255(2), pages 631-648.
- Areski Cousin & Hassan Maatouk & Didier Rullière, 2015. "Kriging of financial term-structures," Working Papers hal-01206388, HAL.
- Areski Cousin & Hassan Maatouk & Didier Rulli\`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
- Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.
- Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
- Masaaki Fujii & Akihiko Takahashi, 2010. "Modeling of Interest Rate Term Structures under Collateralization and its Implications," CIRJE F-Series CIRJE-F-762, CIRJE, Faculty of Economics, University of Tokyo.
- Stéphane Crépey & Rémi Gerboud & Zorana Grbac & Nathalie Ngor, 2013. "Counterparty Risk And Funding: The Four Wings Of The Tva," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-31.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-12-23 (Banking)
- NEP-MON-2010-12-23 (Monetary Economics)
- NEP-RMG-2010-12-23 (Risk Management)
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