Discounting with Imperfect Collateral

Preprint English OPEN
Lou, Wujiang;
(2017)
  • Subject: Quantitative Finance - Pricing of Securities
    mesheuropmc: health care economics and organizations

Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rat... View more
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