Collateral Posting Framework
Published in Zenodo (CERN European Organization for Nuclear Research) • Apr 22, 2022
NobleIDNI1P171W573R053S236
Authors:
Tim Xiao
Abstract
This paper presents a framework for calculating credit exposure under collateral posting. We empirically gauge the impact of collateral agreements on risk measurements. Our findings show that collateral posting can reduce credit risk and credit valuation adjustment (CVA). The results also suggest a ...
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