Swap rate data for collateralization research

A model is presented for pricing financial instruments under different collateral arrangements. Moreover, we show that the model-implied price of a collateralized contract is very close to its market price, which suggests that the model is fairly accurate. Further, we find empirical evidence that asset prices in cleared markets are determined in a similar way to those in OTC markets. This practice is questionable, as the clearing process has changed the risk structure that affects outcomes. In fact, cleared derivatives are not economically equivalent to their OTC counterparts.

本文提出了一种适用于不同抵押安排下的金融工具定价模型。此外，本文证明抵押合约的模型隐含价格与其市场价格极为接近，这表明该模型具备较高的准确性。进一步地，本文通过实证证据发现，清算市场中的资产价格定价逻辑与场外交易（Over-the-Counter, OTC）市场高度相似。然而该做法存在争议，因为清算流程已改变了影响定价结果的风险结构。事实上，从经济层面而言，清算衍生品与其场外交易对应品并不等价。