Sökning: "Sébastian Mollaret"

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  1. 1. Collateral choice option valuation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sébastian Mollaret; [2015]
    Nyckelord :Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

    Sammanfattning : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). LÄS MER