In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation … tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In … collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data.It has also …

this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is … asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage …-linear FBSDE and cannot be solve exactly, the fist order approximation is provided using Gateaux derivative. We have shown that it …