Results 1 to 10 of about 9,158 (259)
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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Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion
Complexity, 2020 Banks and enterprises constitute a multilayered, multiattribute, multicriteria credit-related super network due to financial transaction behaviors, such as credit, wealth management, savings, and derivatives.
Tingqiang Chen +3 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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Central Counterparty Default Waterfalls and Systemic Loss
Social Science Research Network, 2020 Central counterparty default waterfalls act as last lines of defense in over-the-counter markets by managing and allocating resources to cover defaults of clearing members and clients.
M. Paddrik, Simpson Zhang
semanticscholar +2 more sources
Local Central Counterparty [PDF]
Revista de Studii Financiare, 2019 On the 29thof January 2019, the Extraordinary General Meeting of Shareholders of the company Bucharest Stock Exchange (BVB) decided to incorporate a joint-stock company in order to authorize and operate it as a central counterparty. The business
Laurențiu Paul Barangă
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Derivatives Pricing Under Bilateral Counterparty Risk [PDF]
The Journal of Risk, 2015 We consider risk-neutral valuation of a contingent claim under bilateral counterparty risk in a reduced-form setting similar to that of Duffe and Huang [1996] and Duffe and Singleton [1999]. The probabilistic valuation formulas derived under this framework cannot be usually used for practical pricing due to their recursive path-dependencies.
Peter Carr, Samim Ghamami
openalex +2 more sources
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market [PDF]
Management Science, 2016 We investigate how market participants price and manage counterparty credit risk using confidential trade repository data on single-name credit default swap (CDS) transactions.
Wenxin Du +3 more
semanticscholar +2 more sources
Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework [PDF]
Social Science Research Network, 2020 In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.
Alessandro Gnoatto +2 more
semanticscholar +1 more source
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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