Derivative Pricing under Asymmetric and Imperfect Collateralization, and CVA
Derivative Pricing under Asymmetric and Imperfect Collateralization, and CVA
复制标题
不对称和不完美抵押下的衍生品定价以及 CVA
DOI：
10.1080/14697688.2012.738931
复制
发表时间：
2013
影响因子：
1.3
通讯作者：
Akihiko Takahashi
中科院分区：
文献类型：
--
作者：
Masaaki Fujii;Akihiko Takahashi
通过改变融资成本进行抵押的重要性现在已得到从业人员的充分认可。在这篇文章中，作者已经扩展了以前的研究抵押衍生品定价更一般的情况下，即不对称和不完善的抵押与相关的交易对手信用风险。通过引入抵押品覆盖率，他们的框架可以统一处理这些问题。虽然由此产生的定价公式成为一个非线性的正倒向随机微分方程，不能精确地解决，它的一阶近似提供了使用的Gateaux导数。作者已经表明，它允许将一般合同的价格分解为三个部分：市场基准，双边信用价值调整（CVA）和独立于信用风险的抵押品成本调整（CCA）。每一项都进行了仔细研究，并通过数值例子证明了通过CCA的非对称抵押的显着影响。
The importance of collateralization through a change of funding cost is now well recognized among practitioners. In this article, the authors have extended previous studies of collateralized derivative pricing to more generic situations, i.e. asymmetric and imperfect collateralization with the associated counterparty credit risk. By introducing the collateral coverage ratio, their framework can handle these issues in a unified manner. Although the resultant pricing formula becomes a nonlinear forward–backward stochastic differential equation and cannot be solved exactly, its first-order approximation is provided using the Gateaux derivative. The authors have shown that it allows one to decompose the price of a generic contract into three parts: a market benchmark, a bilateral credit value adjustment (CVA), and a collateral cost adjustment (CCA) independent of the credit risk. Each term is studied closely, and the significant impact is demonstrated of asymmetric collateralization through CCA using numerical examples.