Contribution 

Cossin, Didier, Hricko, Tomas,  Modelling collateral for credit exposures : a structural approach
London : Risk Books , 2005, p. 65-95
This chapter presents the authors' set-up and analysis of collateralising an instrument with stochastic equity when there is no marking-to-market, following by an analysis of collateralising with bonds when interest rates are stochastic. Finally, the authors approach the problem of pricing a credit risky instrument with collateral when there are marking-to-market and margin calls.

ISBN :
Keywords : CREDIT, RISK, PRICING, MODELS
Language : English
Storage : InfoDesk
In : Pykhtin, Michael (Ed.) / Counterparty credit risk modelling : risk management, pricing and regulation

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