the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments

by Antonio Castagna of iason. Ltd.

March 20, 2013

Abstract: We analyse the pricing of derivatives under a CSA agreement, without considering netting, minimum transfer amounts and thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment and a funding value adjustment. Implications for the organization of a dealing room are also investigated.

JEL Classification: G12, G13.

AMS Classification: 62H20, 91B70.

Keywords: collateral, CSA, liquidity value adjustment, LVA, funding value adjustment, FVA, derivatives, swap, FRA.

Books Referenced in this paper:  (what is this?)

Download paper (538K PDF) 30 pages

Most Cited Books within Credit Pricing Papers