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Quantitative Finance · Glosarium

Apa itu Collateral threshold, minimum transfer amount, independent amount?

Dikenal juga sebagai: collateral threshold · minimum transfer amount · independent amount

Definition 17.7 Rates, Credit, XVA and Risk · Bab 17 — Counterparty Exposure

The collateral threshold Th\mathrm{Th} is the exposure a party accepts before calling for collateral: the collateral called is V−ThV-\mathrm{Th} above it. The minimum transfer amount (MTA) is the smallest change in collateral that is called. The independent amount is collateral posted regardless of the value, a buffer against moves during the time it takes to close out.

Contoh

Example 17.10 (Collateralising the netting set)

Under a two-way CSA with zero threshold and a minimum transfer amount of USD 500 000, the netting set’s EE falls to a nearly flat USD 1.30 million at its peak and its PFE to USD 6.45 million with a margin period of risk of ten business days; the EPE over the life falls from USD 6.44 million to 0.95 million, 15% of the uncollateralised figure. With twenty days the peak EE is USD 1.83 million, 2\sqrt2 times higher; with a threshold of USD 10 million it is USD 3.81 million (Figure 17.4).

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