- 32 pages
- English
- PDF
- Available on iOS & Android
eBook - PDF
Pricing of Collateralized Over the Counter Derivatives
About this book
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.
Table of contents
Trusted by 375,005 students
Access to over 1.5 million titles for a fair monthly price.
Study more efficiently using our study tools.
Frequently asked questions
Yes, you can cancel anytime from the Subscription tab in your account settings on the Perlego website. Your subscription will stay active until the end of your current billing period. Learn how to cancel your subscription
No, books cannot be downloaded as external files, such as PDFs, for use outside of Perlego. However, you can download books within the Perlego app for offline reading on mobile or tablet. Learn how to download books offline
Perlego offers two plans: Essential and Complete
- Essential is ideal for learners and professionals who enjoy exploring a wide range of subjects. Access the Essential Library with 800,000+ trusted titles and best-sellers across business, personal growth, and the humanities. Includes unlimited reading time and Standard Read Aloud voice.
- Complete: Perfect for advanced learners and researchers needing full, unrestricted access. Unlock 1.5M+ books across hundreds of subjects, including academic and specialized titles. The Complete Plan also includes advanced features like Premium Read Aloud and Research Assistant.
We are an online textbook subscription service, where you can get access to an entire online library for less than the price of a single book per month. With over 1.5 million books across 990+ topics, we’ve got you covered! Learn about our mission
Look out for the read-aloud symbol on your next book to see if you can listen to it. The read-aloud tool reads text aloud for you, highlighting the text as it is being read. You can pause it, speed it up and slow it down. Learn more about Read Aloud
Yes! You can use the Perlego app on both iOS and Android devices to read anytime, anywhere — even offline. Perfect for commutes or when you’re on the go.
Please note we cannot support devices running on iOS 13 and Android 7 or earlier. Learn more about using the app
Please note we cannot support devices running on iOS 13 and Android 7 or earlier. Learn more about using the app
Yes, you can access Pricing of Collateralized Over the Counter Derivatives by Tim Xiao in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over 1.5 million books available in our catalogue for you to explore.