Name: Pricing of Collateralized Over the Counter Derivatives (en Inglés)
Price: 202545.00 COP
Availability: InStock
Author: Xiao, Tim
ISBN: 9783346224514

portada Pricing of Collateralized Over the Counter Derivatives (en Inglés)

Formato

Libro Físico

Autor

Tim Xiao

Editorial

Grin Verlag

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

21.0 x 14.8 x 0.2 cm

Peso

0.05 kg.

ISBN13

9783346224514

Categorías

Economía

Pricing of Collateralized Over the Counter Derivatives (en Inglés)

Tim Xiao (Autor) · Grin Verlag · Tapa Blanda

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Origen: Estados Unidos (Costos de importación incluídos en el precio)

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Reseña del libro "Pricing of Collateralized Over the Counter Derivatives (en Inglés)"

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 collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. The author also empirically gauges the impact of collateral agreements on risk measurements. The findings indicate that there are important interactions between market and credit risk.