英文标题：
《Discounting with Imperfect Collateral》
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作者：
Wujiang Lou
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最新提交年份：
2017
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英文摘要：
  Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo market, for derivatives netting sets are perpetual while repo tenors are typically in months. This article synthesizes these effects into a derivative financing rate that replaces the risk-free discount rate. A break-even repo formulae is employed to supply non-observable collateral rates, enabling collateral liquidity value adjustment (LVA) to be computed. A linear programming problem of maximizing LVA under liquidity coverage ratio (LCR) constraint is formulated as a core algorithm of collateral optimization. Numerical examples show that LVA could be sizable for long average duration, deep in or out of the money swap portfolios.
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中文摘要：
现金抵押品是完美的，因为它同时提供交易对手信用风险保护和衍生品融资。由于抵押品分离或CSA折减和回购折减的差异，证券是不完善的抵押品。此外，回购市场中无法观察到抵押品利率期限结构，因为衍生工具净额结算集是永久性的，而回购期限通常以月为单位。本文将这些影响综合为衍生金融利率，以取代无风险贴现率。采用盈亏平衡回购公式提供不可观测的抵押品利率，从而能够计算抵押品流动性价值调整（LVA）。将流动性覆盖率（LCR）约束下LVA最大化的线性规划问题作为抵押品优化的核心算法。数值例子表明，LVA在长期平均期限内可能相当大，无论是在货币掉期投资组合中还是在货币掉期投资组合之外。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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