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Measuring Counterparty Credit Exposure to a Margined Counterparty [PDF]
Finance and Economics Discussion Series, 2005 Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure.
Michael S. Gibson
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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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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. We find that counterparty risk has a modest impact on the pricing of CDS contracts but a large impact on the choice of counterparties.
Wenxin Du +3 more
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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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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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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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Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk? [PDF]
SSRN Electronic Journal, 2017 A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an ...
Gould, Martin +3 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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