<Para ID="Par1">We consider the valuation of collateralized derivative contracts such as interest rate swaps or forward FX contracts. We allow for posting securities or cash in different currencies. In the latter case, we focus on using overnight index rates on the interbank market. Using time varying haircuts,...</para>

We consider some pricing and risk management issues related to defaultable bonds, in the context of sovereign debt default and restructuring. Standard recovery schemes such as fractional recovery of market value, of Treasury and of face value are investigated: we discuss their consistency with...