A Numerical Example of Derivatives Price with Non-cash Collateralization
年度：2018 NO：18001 著者：Kazuhiro Takino
In this study, we propose a derivatives pricing model where both cash and a non-cash asset are posted as collateral for a derivatives contract. We assume that the participant exchanges the posted non-cash collateral for money through the repo market. Our pricing formula for the collateralized claim is derived taking into account the investment of the received risk-free collateral asset. The resulting pricing formula describes a multi-curve framework and depends on the proportion of cash or non-cash collateral and the repo market haircut. We assume that these parameters are arbitrarily determined by the market. We then carry out a sensitivity analysis and describe how the proportion of the cash collateral and the haircut affect the derivatives price in a constant as well as stochastic interest rate environment. We finally show that the sensitivity analyses results depend on the funding cost.