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What is Non-Cash Collateralized Derivatives Pricing about?

This article examines the pricing of derivatives when financed by non-cash collateral, focusing on the impact of haircuts and repo market dynamics on pricing models. It introduces a collateral liquidity value adjustment (LVA) to optimize collateral management and enhance pricing accuracy in a post-crisis regulatory environment. The paper proposes a framework that integrates collateral rates from the repo market into liability-side pricing, addressing the complexities of collateral optimization and the evolv

Author

josebintreinta

Language

EN