Data · dataset · 2020
A New Model for Pricing Collateralized OTC Derivatives
Listed in DANS Data Station Social Sciences and Humanities
This paper presents a new model for pricing OTC derivatives subject to collateralization.
Description
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, we find 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.
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This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk.
Date: 2020-07-22
Links
Where it is published
- Dataverse dataset page ssh.datastations.nl/dataset.xhtml?persistentId=doi%3A10.17026%2FDANS-ZA7-RJZK ↗
landing page · from ssh datastations nl
- DOI doi.org/10.17026/dans-za7-rjzk ↗
DOI / persistent id · from ssh datastations nl
Catalogue records · 1
- Dataverse API ssh.datastations.nl/api/datasets/:persistentId/?persistentId=doi%3A10.17026%2FDANS… ↗
metadata API · from ssh datastations nl
Topics
- Stated by source
- Business and Management
- From keywords
- Economics & Finance · Humanities · Social Science
- Inferred from text
- Banking, finance and investment 68%
Provenance · 1 source records, 11 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| DANS Data Station Social Sciences and Humanities | doi:10.17026/DANS-ZA7-RJZK | 11 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].anzsrc:group:3502 | enrichment · ssh datastations nl | taxonomy-embedding@1.0.0 | title+keywords+description (68%) |
| concepts[field].dataverse_subject:business-and-management | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /subjects |
| concepts[field].local:field:economics-finance | mapping · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /subjects |
| concepts[field].local:field:humanities | mapping · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /subjects |
| concepts[field].local:field:social-science | mapping · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /subjects |
| created_date | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | |
| description | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /description |
| publication_date | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | |
| title | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | /name |
| updated_date | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 | |
| version_label | source · ssh datastations nl | connector:ssh_datastations_nl@1.0.0 |