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Using Cheapest-to-Deliver (CTD) Collateral for Accurate OTC Derivatives Valuation

Posted by Cristin Riffle on January 22, 2013 at 22:40
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Tags: otc, derivatives, funding, ctd, collateral
http://blog.numerix.com | Anna Barbashova explores the embedded optionality of multi-currency CSAs and the challenges banks face in terms of collateral management and optimization. Anna identifies why CTD (Cheapest-to-Deliver) collateral is necessary, why cheapest isn't always optimal and the benefits a CTD solution can bring to the valuation process.

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