Quant Congress Europe: Collateral choice will cause price fragmentation, says Piterbarg

shattered-glass-smash

Obtaining a single, unique price for even simple derivatives products like forward foreign exchange rates may soon become a thing of the past, as dealers start taking the eligible collateral agreed as part of each credit support annex (CSA) agreement into account in their pricing, according to Vladimir Piterbarg, head of quantitative analysis at Barclays.

Speaking at the Quant Congress Europe in London this morning, Piterbarg said pricing screens currently show a single price for forward forex r

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: