交易对手估值与衍生品定价中的融资和抵押品
文章 arXiv papers · 作者: Andrea Pallavicini et al.
总结
本文构建一个风险中性框架，为有抵押的交易对手交易定价，并同时考虑信用估值调整、借方估值调整、保证金和融资成本。其核心定价方程具有递归性，因此融资影响通常不能表示为简单的加法调整。作者将问题改写为可通过标准最小二乘蒙特卡洛方法求解的迭代关系。
该框架允许抵押品利率和融资利率不对称，并纳入外部流动性及对冲政策、再质押风险和终止金额考量，同时不对保证金或净额结算施加狭窄假设。论文指出，融资成本和借方估值调整通常无法分开识别；融资成本为零的情况依赖特殊假设。文中示例将一般框架与已有贴现结果联系起来。本文描述的是建模框架，而非实证交易表现；结论取决于所选市场惯例、政策和风险中性假设。
核心观点
- 定价方程综合纳入交易对手信用、借方、抵押品、保证金和融资影响。
- 融资依赖具有递归性，因此一般难以仅通过加法形式的融资估值调整来表示。
- 递归定价关系可通过最小二乘蒙特卡洛技术计算。
- 融资成本和借方估值调整通常无法分开。
- 更广泛的框架不要求利率对称，也不要求采用狭窄的保证金假设。
标签
全文
# Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments # Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding costs, all in a consistent way. Funding risk breaks the bilateral nature of the valuation formula. We find that the equation has a recursive form, making the introduction of a purely additive funding valuation adjustment (FVA) difficult. Yet, we can cast the pricing equation into a set of iterative relationships which can be solved by means of standard least-square Monte Carlo techniques. As a consequence, we find that identifying funding costs and debit valuation adjustments is not tenable in general, contrary to what has been suggested in the literature in simple cases. The assumptions under which funding costs vanish are a very special case of the more general theory. We define a comprehensive framework that allows us to derive earlier results on funding or counterparty risk as a special case, although our framework is more than the sum of such special cases. We derive the general pricing equation by resorting to a risk-neutral approach where the new types of risks are included by modifying the payout cash flows. We consider realistic settings and include in our models the common market practices suggested by ISDA documentation, without assuming restrictive constraints on margining procedures and close-out netting rules. In particular, we allow for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re-hypothecation liquidity risk and close-out amount evaluation issues are also covered. Finally, relevant examples of non-trivial settings illustrate how to derive known facts about discounting curves from a robust general framework and without resorting to ad hoc hypotheses.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。