Optimální způsob sjednání derivátu za přítomnosti rizika protistrany

Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk

Jan Šedivý

Politická ekonomie, 2019, vol. 2019, issue 1, 65-81

Abstract: The paper deals with the optimal strategy for entering a derivative contract under existence of counterparty credit risk. Derivative contracts can be traded in three ways - bilaterally without any collateral agreement, bilaterally with collateral agreement or through a central counterparty. Our goal is to define rules for determining the most efficient way of trading. We take into account credit value adjustment, funding costs and capital costs related to regulatory requirements. In our empirical research, we focus on interest rate swaps with different maturities, specifically we analyse the impact of own and counterparty credit spreads on the overall costs. The results show higher efficiency of central clearing for investors with high creditworthiness. The costs of central clearing are very sensitive with respect to own credit spread and, therefore, the final decision depends on the actual relation with counterparty spread.

Keywords: counterparty credit risk; credit valuation adjustment; funding valuation adjustment; regulatory requirements (search for similar items in EconPapers)
JEL-codes: G13 G21 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://polek.vse.cz/doi/10.18267/j.polek.1217.html (text/html)
http://polek.vse.cz/doi/10.18267/j.polek.1217.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1217:p:65-81

Ordering information: This journal article can be ordered from
Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
http://polek.vse.cz

DOI: 10.18267/j.polek.1217

Access Statistics for this article

Politická ekonomie is currently edited by Jiřina Bulisová

More articles in Politická ekonomie from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().