英文标题：
《Pricing Derivatives with Counterparty Risk and Collateralization: A
Fixed Point Approach》
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作者：
Jinbeom Kim, Tim Leung
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最新提交年份：
2015
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英文摘要：
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fixed point via contraction mapping. This leads us to develop an accurate iterative numerical scheme for valuation. Specifically, we solve a sequence of linear inhomogeneous PDEs, whose solutions converge to the fixed point price function. We apply our methodology to compute the bid and ask prices for both defaultable equity and fixed-income derivatives, and illustrate the non-trivial effects of counterparty risk, collateralization ratio and liquidation convention on the bid-ask spreads.
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中文摘要：
本文研究了具有参考和交易对手违约风险的金融合同的价值评估框架。我们提出了一种不动点方法来分析带有交易对手风险准备金的按市值计价合同价值，并通过收缩映射证明了它是唯一有界的连续不动点。这导致我们开发了一个精确的迭代数值估值方案。具体来说，我们求解一系列线性非齐次偏微分方程，其解收敛于不动点价格函数。我们应用我们的方法来计算可违约股票和固定收益衍生品的买入和卖出价格，并说明交易对手风险、抵押比率和清算惯例对买卖价差的非平凡影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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