Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
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Collateral and credit issues in derivatives pricing
John Hull and Alan White
Abstract
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.
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