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- W3141555400 abstract "This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements 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 posting 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. 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." @default.
- W3141555400 created "2021-04-13" @default.
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- W3141555400 date "2017-06-07" @default.
- W3141555400 modified "2023-09-27" @default.
- W3141555400 title "A New Model for Pricing Collateralized Financial Derivatives" @default.
- W3141555400 doi "https://doi.org/10.5281/zenodo.1255352" @default.
- W3141555400 hasPublicationYear "2017" @default.
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