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通过风险共担协商衍生品价格与抵押品

文章 arXiv papers · 作者: Junbeom Lee et al.
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总结

本文提出一个双方协商框架，适用于交易对手面临不同融资利率时的衍生品合约协商。融资差异可能导致双方在使用相同定价方法和假设时得出不同的公允价格，因此双方需要商定合约价格。该框架将协商定义为最大化双方效用之和，并据此推导出最优价格。

文章还推导出最优抵押品金额，并讨论其在金融企业与非金融企业之间合约中的可能用途。对于交易商间合约，法规和巴塞尔 III 惯例要求抵押品等于平仓金额，分析描述了该全额保证金要求达到最优的条件。原文提供的是理论论述，没有实证证据、校准详情或实施结果。其结论取决于模型对双方融资、效用和合约风险的假设，而所提供的文本并未说明这些假设。

核心观点

  • 融资利率不同可能导致交易对手对同一衍生品给出不同的公允价格。
  • 该框架选择协商价格，以最大化双方的效用之和。
  • 分析在推导合约价格的同时，也推导出最优抵押品金额。
  • 该框架考察金融企业与非金融企业之间的合约。
  • 研究指出，在特定条件下，交易商间合约以全部平仓金额作为抵押品是最优的。

标签

衍生品定价风险管理固定收益
全文
# A Risk-Sharing Framework of Bilateral Contracts


# A Risk-Sharing Framework of Bilateral Contracts









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.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。