Pricing of Collateralized Over the Counter Derivatives
Tim Xiao
Broschiertes Buch

Pricing of Collateralized Over the Counter Derivatives

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Academic Paper from the year 2020 in the subject Economics - Finance, grade: 10, , language: English, abstract: This paper presents a new model for pricing over the counter (OTC) derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives.Using a unique dataset, the author found empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both c...