We analyse the most common market instruments to manage and optimise collateral allocation: the repo, the sell/buy back …

We cast the ongoing debate on FVA onto a segregated derivative economy, where counterparties are defaultable and unable … to post collateral fully. The economy exhibits funding asymmetry in that deposit and borrowing have differing rates. A …

collateral agreement. We then verify the effect of the collateral agreement on the derivative transaction by using the … derivative contracts by agent's utility maximizations. This leads the equilibrium volumes and prices for the derivative contracts …, and enables us to observe the influence of the collateral agreement on these. Our numerical results also verify how the …

principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium … pricing rule in the point of the sensitivity of derivative prices …

adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral …The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting … of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk …

approximate one, is just a starting point in the difficult task of assessing the fair value of a basket credit derivative …