FX Forward Invariance & Discounting with CSA Collateral

In what follows we outline briefly the Credit Support Annex and how it impacts securities pricing. We then proceed to discuss synthetic forward rate calculation and the FX forward invariance relationship from which we show how to calculate CSA collateral adjusted discount factors using GBP curves with a EUR CSA collateral as an illustration

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Year of publication:	2017
Authors:	Burgess, Nicholas
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Diskontierung \| Discounting \| Kreditsicherung \| Collateral \| Soziale Diskontrate \| Social discount rate \| Zinsstruktur \| Yield curve \| Intertemporale Entscheidung \| Intertemporal choice

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Extent:	1 Online-Ressource (3 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.3009281 [DOI]
Classification:	A20 - Economics Education and Teaching of Economics. General ; A23 - Graduate ; C02 - Mathematical Methods ; C60 - Mathematical Methods and Programming. General ; C65 - Miscellaneous Mathematical Tools ; G12 - Asset Pricing ; G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012951099