Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments
نویسنده
چکیده
The CSA is a contract whereby a percentage (typically 100%) of the negative NPV fully collateralized by the relevant counterparty, and a daily variation margin, equal to 100% of the daily variation of the NPV, is posted by the party which the variation was negative to. Under such an agreement, maintenance margin is redundant. The total collateral amount (initial + variations) is remunerated at a specified rate. It should be noted also that CSA agreements usually operates on an aggregated base: the NPVs of all contracts (also for different types of underlying) included in a netting set
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تاریخ انتشار 2011