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Collateralised CVA

Posted 10 years ago

Collateralized trades CVA is yet another variation of this popular theme where we focus on scenarios with trade exposure bounded from above due to the existence of mitigating factor that brings it overall level down. Whilst the net effect of collateralisation is significant reduction of exposure, the presence of rate-sensitive collateral is not trivial and complicates the exposure calculation due to additional source of randomness. Nevertheless, we derive the exposure formula analytically - for both symmetric (same currency) and asymmetric collateralization with different transaction and collateral currencies.

Coll CVA image

POSTED BY: Igor Hlivka


Is it possible to get the notebook behind this and the other PDF files?

Thank you Michael

POSTED BY: Michael Kelly
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