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Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10008530717
One of the objectives of this CEM was to identify the most promising products and conduct competitiveness diagnostic. The products list is summarized in Table 1 below. Competitiveness, in this report, is seen as a combination of productivity and costs, and the second section of the CEM presents...
Persistent link: https://www.econbiz.de/10013080773
form of secured collateral loans, as in Kiyotaki-Moore (1997), and also as unsecured reputational loans suggested in Bulow …. We also find highly periodic and volatile limit cycles in economies with small amounts of collateral. …
Persistent link: https://www.econbiz.de/10011107327
concerns. Depending on the collateral agreement, collateral can be in the form of cash in different currencies, but also in the …
Persistent link: https://www.econbiz.de/10011109288
In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...
Persistent link: https://www.econbiz.de/10011110003
Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …
Persistent link: https://www.econbiz.de/10011110035
derivative consists of three components: the price of the perfectly collateralized derivative (a.k.a. price by collateral rate … discounting), the value adjustment due to different funding spreads between the payoff currency and the collateral currency, and …
Persistent link: https://www.econbiz.de/10011110908
We construct a unified framework to study credit rationing by the loan size. Due to default risk, the loan offer curve is positive-sloping. At the equilibrium interest rate, increasing the loan size reduces the average cost of the loan, so the borrower always demands a larger loan than that the...
Persistent link: https://www.econbiz.de/10011110998
As a byproduct of the 2007-2008 credit crunch, derivatives pricing and risk management are experiencing a dramatic transformation. Assumptions that were widely accepted not long ago, like absence of counterparty credit risk and the existence of a unique risk free curve available for every...
Persistent link: https://www.econbiz.de/10011168668
Financing of agriculture by commercial and non-commercial institutions in rural Sub-Saharan African in recent years has being relatively constant despite remarkable increase in the number of institutions operating within this area. This development may be attributed to how these institutions...
Persistent link: https://www.econbiz.de/10011258880