Results 1 to 10 of about 34,635 (206)
The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives. [PDF]
PLoS ONE, 2015 Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds.
Vahan Nanumyan +2 more
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AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
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Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model [PDF]
Risks, 2019 One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads.
Ioannis Anagnostou, Drona Kandhai
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Innovative methods of evaluating the counterparty during the organization internal control
Вестник университета, 2023 The article discusses the key issues of internal control measures when choosing a counterparty during the formation of an innovative economy. The purpose of the study is to develop indicators characterizing the counterparty, as well as an innovative risk
E. A. Kirova, T. V. Perminova
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Due Diligence in Digital Profiling of a Counterparty
Техника и технология пищевых производств, 2023 Economic entities involved in food production interact with a large number of counterparties and depend on their integrity. They have to check their potential business partners before cooperating.
Svetlana М. Bychkova +2 more
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Mathematical Model for Choosing Counterparty When Assessing Information Security Risks
Risks, 2021 The need to assess the risks of the trustworthiness of counterparties is increasing every year. The identification of increasing cases of unfair behavior among counterparties only confirms the relevance of this topic.
Andrey Koltays +2 more
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Revista de Contabilidad: Spanish Accounting Review, 2020 Under the IFRS 9 impairment model, entities must estimate the PD (Probability of Default) for all financial assets (and other elements) not measured at fair value through profit or loss.
David Delgado-Vaquero +2 more
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Pricing Vulnerable Options in the Bifractional Brownian Environment with Jumps
Journal of Mathematics, 2021 In this paper, we study the valuation of European vulnerable options where the underlying asset price and the firm value of the counterparty both follow the bifractional Brownian motion with jumps, respectively.
Panhong Cheng, Zhihong Xu
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Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk
Discrete Dynamics in Nature and Society, 2020 In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
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