The Impact of Collateralization on Swap Rates

By Michael Johannes, Suresh Sundaresan. 2007

115 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f5a27a26e8cb7784271433c2b0b7bb673a2babf7

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1. Fabio Mercurio
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Citations in the corpus

• Decomposing Swap Spreads (2008, unknown): “Johannes and Sundaresan (2007) argue that the posting of collateral by both parties to the swap contract has the net effect of increasing swap yields.”
• The Term Structure of Interbank Risk (2012, unknown): “Similar formulas have been derived in various contexts by Johannes and Sundaresan (2007), Fujii, Shimada, and Takahashi (2009), and Piterbarg (2010). Consider a contract with a contractual nominal cash flow X at maturity T.”
• LIBOR Market Models with Stochastic Basis (2010, background): “Other collateral rates are present in the market, with clear implications as far as derivative pricing is concerned, see e.g. Johannes and Sundaresan (2007) or the more recent works by Fujii et al. (2009a, 2009b) and Piterbarg (2010).”