Collateral and Credit Issues in Derivatives Pricing

26 Pages Posted: 6 Jun 2016

See all articles by John C. Hull

John C. Hull

University of Toronto - Rotman School of Management

Alan White

University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: September 30, 2014

Abstract

Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements and examines the impact of collateral agreements, two-sided credit risk, funding costs, liquidity and bid–offer spreads on the valuation of derivatives portfolios.

Keywords: collateral agreements, over-the-counter derivatives transactions, collateral agreements

Suggested Citation

Hull, John C. and White, Alan, Collateral and Credit Issues in Derivatives Pricing (September 30, 2014). Journal of Credit Risk, Vol. 10, No. 3, 2014, Available at SSRN: https://ssrn.com/abstract=2789567

John C. Hull (Contact Author)

University of Toronto - Rotman School of Management ( email )

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Alan White

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-978-3689 (Phone)
416-971-3048 (Fax)

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