Home  Journals  Financial Analytics: Science and Experience  22(160) - 2013 June

Optimization theory application to analysis of multiple default situations in transactions through central counterparty

Available online: 11 June 2013

Subject Heading: BANKING SECTOR

JEL Classification: 

In the article the analysis of a situation of a multiple default according to the transactions made through the central contractor is carried out. Function of distribution of probability of nonpayment by the participant of the transaction of swap loading is received. The problem of minimization of cumulative probability of nonpayment of swap loading is set. On existence and uniqueness of the solution of a problem of optimization for finding of required swap loading are considered and investigated.

Keywords: central contractor, margin, currency swap, logit-model, default, problem of optimization

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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