英文标题：
《A Risk-Sharing Framework of Bilateral Contracts》
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作者：
Junbeom Lee and Stephan Sturm and Chao Zhou
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最新提交年份：
2019
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英文摘要：
  We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing methodology and parameters. Thus, the two parties should enter the derivative contracts with a negotiated price, and we call the negotiation a risk-sharing problem. This framework defines the negotiation as a problem that maximizes the sum of utilities of the two parties. By the derived optimal price, we provide a theoretical analysis on how the price is determined between the two parties. As well as the price, the risk-sharing framework produces an optimal amount of collateral. The derived optimal collateral can be used for contracts between financial firms and non-financial firms. However, inter-dealers markets are governed by regulations. As recommended in Basel III, it is a convention in inter-dealer contracts to pledge the full amount of a close-out price as collateral. In this case, using the optimal collateral, we interpret conditions for the full margin requirement to be indeed optimal.
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中文摘要：
我们引入了一个由资金差异引起的价格不对称启发的双代理问题。当双方的融资利率不同时，即使在相同的定价方法和参数下，双方也会推导出不同的衍生产品合同公允价格。因此，双方应以协商价格签订衍生产品合同，我们将协商称为风险分担问题。该框架将谈判定义为一个使双方效用之和最大化的问题。通过导出的最优价格，我们对双方如何确定价格进行了理论分析。除了价格之外，风险分担框架还产生了最佳数量的抵押品。导出的最优抵押品可用于金融公司和非金融公司之间的合同。然而，交易商间市场受监管。正如《巴塞尔协议III》所建议的那样，交易商间合同中有一项惯例，即以全部成交价格作为抵押品。在这种情况下，使用最佳抵押品，我们将完全保证金要求的条件解释为确实是最佳的。
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分类信息：

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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