Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation
52 Pages Posted: 18 Sep 2014 Last revised: 24 Sep 2014
Date Written: September 13, 2014
This thesis concentrates on FVA computation for interest rate swaps under perfect collateralization and re-hypothecation. It also analyses the effect of FVA computation in a portfolio level. With a Hull-White set-up for interest rate, we are able to compute FVA for single swap and swap portfolios. It shows that the funding cost of transactions can be partially or entirely reduced in that sense.
Keywords: FVA, Collateralization, Re-hypothecation, Portfolio Level
JEL Classification: G10,G14
Suggested Citation: Suggested Citation