Collateral and credit issues in derivatives pricing
John Hull and Alan White
Journal of Credit Risk
Abstract:
ABSTRACT Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements and examines the impact of collateral agreements, two-sided credit risk, funding costs, liquidity and bid-offer spreads on the valuation of derivatives portfolios. ;
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.risk.net/journal-of-credit-risk/236468 ... -derivatives-pricing (text/html)
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:rsk:journ1:2364684
Access Statistics for this article
More articles in Journal of Credit Risk from Journal of Credit Risk
Bibliographic data for series maintained by Thomas Paine ().