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

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

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

Yupeng Jiang (Contact Author)

University College London ( email )

Gower Street
London, WC1E 6BT
United Kingdom

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