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摘要翻译：
本文将双边交易对手风险的无套利估值框架推广到包含抵押品的情况下，并考虑了可能的再假设。我们分析当抵押品保证金包含在与当前ISDA文件的协议中时，索赔的支付是如何修改的。然后，我们将利率互换作为基础投资组合进行专门分析，并考虑投资者和交易对手的违约时间与基础投资组合风险因素之间的相互依赖关系。我们使用无套利随机动态模型，也包括利率和信用利差波动的影响。通过一个数值算例说明了再抵押、抵押品保证金频率和依赖性对双边交易对手风险调整的影响。
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英文标题：
《Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment
including Re-Hypotecation and Netting》
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作者：
Damiano Brigo, Agostino Capponi, Andrea Pallavicini, Vasileios
Papatheodorou
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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英文摘要：
This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA documentation. We then specialize our analysis to interest-rate swaps as underlying portfolio, and allow for mutual dependences between the default times of the investor and the counterparty and the underlying portfolio risk factors. We use arbitrage-free stochastic dynamical models, including also the effect of interest rate and credit spread volatilities. The impact of re-hypotecation, of collateral margining frequency and of dependencies on the bilateral counterparty risk adjustment is illustrated with a numerical example.
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PDF链接：
https://arxiv.org/pdf/1101.3926
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