英文标题：
《A stochastic switching control model arising in general OTC contracts
  with contingent CSA in presence of CVA, collateral and funding》
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作者：
Giovanni Mottola
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最新提交年份：
2014
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英文摘要：
  The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract to switch from zero to full/perfect collateralization and switch back whenever she wants until contract maturity paying some switching costs and taking into account the running costs that emerge over time. The motivation and the underlying economic idea is to show that the current full/partial collateralization mechanisms defined within contracts\' CSA - and now imposed by the banking supervision authorities - are \"suboptimal\" and less economic than the contingent one that allows to optimally take in account all the relevant driver namely the expected costs of counterparty default losses - represented by the (bilateral) CVA - and the expected collateral and funding costs. In this perspective, we tackle the problem from the risk management and optimal design point of view solving - under some working assumptions - the derived stochastic switching control model via Snell envelope technique and important results of the theory of the backward stochastic differential equations with reflection (RBSDE). We have also studied the numerical solution providing an algorithm procedure for the value function computation based on an iterative optimal stopping approach.
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中文摘要：
本文研究和分析了存在或有CSA的一般可违约OTC合同，这是一种理论上的转换型交易对手风险缓解机制，允许一般OTC合同的交易对手从零转换为完全/完美抵押，并在合同到期前随时切换，支付一定的转换成本，并考虑到随着时间推移产生的运行成本。其动机和基本的经济理念是为了表明，合同CSA中定义的、目前由银行监管机构实施的当前全部/部分抵押机制是“次优”的，比或有机制更不经济，后者允许最佳地考虑所有相关驱动因素，即交易对手违约损失的预期成本由（双边）CVA代表——以及预期的抵押品和融资成本。从这个角度出发，我们从风险管理和优化设计的角度来解决这个问题，在一些工作假设下，通过Snell包络技术和倒向随机反射微分方程（RBSDE）理论的重要结果来求解导出的随机切换控制模型。我们还研究了数值解，为基于迭代最优停止方法的值函数计算提供了算法程序。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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