Politická ekonomie
Politická ekonomie
Politická ekonomie
TEORETICKÝ ČASOPIS • ISSN 0032-3233 (Print) • ISSN 2336-8225 (Online)

Politická ekonomie Vol. 67 No. 1

Optimální způsob sjednání derivátu za přítomnosti rizika protistrany

DOI: https://doi.org/10.18267/j.polek.1217

[plný text (PDF)]

Jan Šedivý

The paper deals with the optimal strategy for entering a derivative contract under existence of counterparty credit risk. Derivative contracts can be traded in three ways – bilaterally without any collateral agreement, bilaterally with collateral agreement or through a central counterparty. Our goal is to define rules for determining the most efficient way of trading. We take into account credit value adjustment, funding costs and capital costs related to regulatory requirements. In our empirical research, we focus on interest rate swaps with different maturities, specifically we analyse the impact of own and counterparty credit spreads on the overall costs. The results show higher efficiency of central clearing for investors with high creditworthiness. The costs of central clearing are very sensitive with respect to own credit spread and, therefore, the final decision depends on the actual relation with counterparty spread.

JEL klasifikace: G13, G21, G32

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