Collateral Choice Option Valuation

20 Pages Posted: 8 Oct 2013 Last revised: 29 Oct 2014

See all articles by Alexandre Antonov

Alexandre Antonov

Abu Dhabi Investment Authority; ADIA

Vladimir Piterbarg

NatWest Markets; Imperial College London

Date Written: August 13, 2013

Abstract

Credit Support Annexes (CSAs) that allow multiple currencies as collateral give rise to a collateral choice option in discounting. Numerical efficiency for valuing this optionality is key and first-order approximations have been proposed previously. In this paper, for the case of two currencies, we propose more accurate schemes that are still very efficient.

Keywords: CSA, collateral, collateral choice option, discounting, Credit Support Annex, OTC

JEL Classification: C61, G13, G21

Suggested Citation

Antonov, Alexandre and Piterbarg, Vladimir, Collateral Choice Option Valuation (August 13, 2013). Available at SSRN: https://ssrn.com/abstract=2337068 or http://dx.doi.org/10.2139/ssrn.2337068

Alexandre Antonov

Abu Dhabi Investment Authority ( email )

211 Corniche Road
Abu Dhabi, Abu Dhabi PO Box3600
United Arab Emirates

ADIA ( email )

211 Corniche
abu Dhabi
United Arab Emirates

Vladimir Piterbarg (Contact Author)

NatWest Markets ( email )

250 Bishopsgate
London, EC2M 4AA
United Kingdom

Imperial College London ( email )

South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
1,775
Abstract Views
6,031
Rank
18,032
PlumX Metrics