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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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2001, 2001
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| Edition: | 1st ed. 2001 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| 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