spenserzhou
New Member
Can anyone tell me how to determine threshold in a CSA?
I understand it depends on the ratings of counterparties, or sometimes even the types of collaterals. However, is there a methodology, like VaR or anything else, which helps to quantify the requirements for threshold?
Thanks
I understand it depends on the ratings of counterparties, or sometimes even the types of collaterals. However, is there a methodology, like VaR or anything else, which helps to quantify the requirements for threshold?
Thanks