Download This PaperPortfolio Level FVA Under Perfect Collateralization and Re-Hypothecation
52 Pages Posted: 18 Sep 2014 Last revised: 24 Sep 2014
Date Written: September 13, 2014
Abstract
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
Jiang, Yupeng, Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation (September 13, 2014). Available at SSRN: https://ssrn.com/abstract=2495870 or http://dx.doi.org/10.2139/ssrn.2495870
Here is the Coronavirus
related research on SSRN
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
