Design of Master Agreements for OTC Derivatives

I first came across the issue of derivatives documentation when writing my diploma thesis on measuring the credit risk ofOTC derivatives while I was an economics student at the University of Bonn. Despite the fact that security design has been an area of research in economics for many years and desp...

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Main Author: Franzen, Dietmar
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2001, 2001
Edition:1st ed. 2001
Series:Lecture Notes in Economics and Mathematical Systems
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 1. Introduction
  • 2. Derivatives Usage and Documentation
  • 2.1 The Benefits of Derivatives for Non-financial Firms
  • 2.2 ISDA Master Agreements
  • 2.3 Legal Risk, Enforceability, and Insolvency Law
  • 2.4 Summary
  • 3. Incomplete Contracts and Security Design
  • 3.1 An Overview of the Literature on Incomplete Contracts
  • 3.2 The Basic Framework
  • 3.3 A Benchmark Case: Bilateral Bargaining Without Derivatives
  • 3.4 Numerical Examples
  • 3.5 Summary
  • 4. The Implications of Provisions in Master Agreements
  • 4.1 The Basic Bargaining Framework with Multiple Claim
  • 4.2 The Impact of Close-out Netting Provisions
  • 4.3 Limited Two-way Payment Provisions
  • 4.4 Collateralization of Derivatives Transactions
  • 4.5 Numerical Examples
  • 4.6 Summary
  • 5. Two-sided Credit Risk
  • 5.1 A Bilateral Bargaining Framework with Two-sided Credit Risk
  • 5.2 Close-out Netting
  • 5.3 Limited Two-way Payment Provisions
  • 5.4 Numerical Examples
  • 5.5 Summary
  • 6. Conclusion and Outlook
  • References