{"title":"担保协议下衍生品合约的定价:流动性和资金价值调整","authors":"A. Castagna","doi":"10.2139/ssrn.1974479","DOIUrl":null,"url":null,"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.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"25","resultStr":"{\"title\":\"Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments\",\"authors\":\"A. Castagna\",\"doi\":\"10.2139/ssrn.1974479\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":431629,\"journal\":{\"name\":\"Econometrics: Applied Econometric Modeling in Financial Economics eJournal\",\"volume\":\"15 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-03-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"25\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics: Applied Econometric Modeling in Financial Economics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1974479\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1974479","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments
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.
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