to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …

default closeout, including collateral margining with possible re-hypothecation, and treasury funding costs, we show how such …

collateral. We provide a model to calculate the exposures by specifying the parameterized loss distributions of the individual …

of collateral mitigation. We show that the adjustment is given by the sum of option payoff terms, depending on the netted … exposure, i.e. the difference between the on-default exposure and the pre-default collateral account. We specialize our … illustrate the impact of default correlation, collateral margining frequency, and collateral re-hypothecation on the resulting …

We study in this article the pricing of a derivate contract in presence of both counterparty risk and collateral … application to a Total Return Swap will show that hard numerical complications could arise in the presence collateral when pricing …