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摘要翻译：
通过融资成本的变化进行抵押的重要性现在在从业者中得到了充分的认识。在本文中，我们将前人对衍生品担保定价的研究扩展到更一般的情形，即不对称和不完善的担保，并伴随着交易对手的信用风险。通过引入抵押品覆盖率，我们的框架可以统一处理这些问题。虽然所得定价公式成为非线性的FBSDE，不能精确求解，但利用Gateaux导数给出了一阶近似。我们已经证明，它允许我们将通用合同的价格分解为三个部分：市场基准、双边信用价值调整(CVA)和独立于信用风险的担保品成本调整(CCA)。我们仔细研究了每个项，并通过CCA用数值例子证明了非对称担保的显著影响。
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英文标题：
《Derivative Pricing under Asymmetric and Imperfect Collateralization and
CVA》
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作者：
Masaaki Fujii, Akihiko Takahashi
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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：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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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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英文摘要：
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage ratio, our framework can handle these issues in an unified manner. Although the resultant pricing formula becomes non-linear FBSDE and cannot be solve exactly, the fist order approximation is provided using Gateaux derivative. We have shown that it allows us to decompose the price of generic contract into three parts: market benchmark, bilateral credit value adjustment (CVA), and the collateral cost adjustment (CCA) independent from the credit risk. We have studied each term closely, and demonstrated the significant impact of asymmetric collateralization through CCA using the numerical examples.
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PDF链接：
https://arxiv.org/pdf/1101.5849
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