Search Results - subject:"CSA Discounting"

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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -

Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013

balance and take advantage of pricing conditions (e.g. for CSA Discounting, precise valuation and pricing of LVA …

Persistent link: https://www.econbiz.de/10011201776

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA-discounting …

Persistent link: https://www.econbiz.de/10011110035

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

Persistent link: https://www.econbiz.de/10011260721

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

Persistent link: https://www.econbiz.de/10011259157

Interest Rates After the Credit Crunch: Markets and Models Evolution

Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48

and OIS rates, the explosion of basis swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in …

Persistent link: https://www.econbiz.de/10009318572