carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …

diffusion of collateral agreements among OTC derivatives market counterparties, and on the consequent change of paradigm for …

concerns. Depending on the collateral agreement, collateral can be in the form of cash in different currencies, but also in the …

In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We … derivative's price will reflect the replication costs from the hedger's perspective, which will not be equal to the replication … value that the derivative experiences while the hedger remains not defaulted. We assume that both the investor's and the …

the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We … Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …

derivative consists of three components: the price of the perfectly collateralized derivative (a.k.a. price by collateral rate …In this paper, valuation of a derivative partially collateralized in a specific foreign currency defined in its credit … discounting), the value adjustment due to different funding spreads between the payoff currency and the collateral currency, and …

posted as collateral, so that we can end up with different current accounts that accrue at different rates and their … collateral schemes are simultaneously modeled, such as a CVA pricing engine …