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Collateral and credit issues in derivatives pricing

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  • John Hull and Alan White

Abstract

ABSTRACT Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements and examines the impact of collateral agreements, two-sided credit risk, funding costs, liquidity and bid-offer spreads on the valuation of derivatives portfolios. ;

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Handle: RePEc:rsk:journ1:2364684
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