Study on optimal timing of mark-to-market for contingent credit risk control

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dc.creatorLiao, Jiali
dc.creatorTheodosopoulos, Ted
dc.date2005-06-04
dc.date.accessioned2026-07-07T12:07:15Z
dc.date.available2026-07-07T12:07:15Z
dc.descriptionOver-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and widespread credit risk mitigation techniques used in derivatives transactions. However, the relevant decisions are often made in an ad-hoc manner, without reference to an analytical framework. Very little academic research has addressed the quantitative analysis of collateralization for contingent credit risk control. The issue of mark-to-market timing becomes important for reducing credit exposure of illiquid and long term derivative contracts due to the difficulty and cost of marking to market. the goal of this research is to propose a framework for minimizing the potential credit exposure of collateralized derivative transactions by optimizing mark-to-market timing.
dc.description21 pages, 6 figures, presented at the 11th International Conference on Computing in Economics and Finance
dc.identifierhttps://arxiv.org/abs/math/0506077
dc.identifierhttp://arxiv.org/abs/math/0506077
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208907
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectRisk Management
dc.subject91B30; 60J70
dc.titleStudy on optimal timing of mark-to-market for contingent credit risk control
dc.typetext

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