Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Abstract and Applied Analysis, 2014 We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest ...
Anjiao Wang, Zhongxing Ye
doaj +1 more source
The unreasonable effectiveness of large language models in zero-shot semantic annotation of legal texts. [PDF]
Front Artif Intell, 2023 Savelka J, Ashley KD.
europepmc +1 more source
An Agile Approach to Sourcing Solutions: Embracing Uncertainty for Strategic Relevance
Journal of Supply Chain Management, EarlyView.ABSTRACT This study examines agile sourcing, an emerging approach to procurement that deliberately incorporates uncertainty to address business challenges. Guided by a critical realist ontology and framing agile sourcing as an information‐processing issue, this study explores the generative mechanisms that enable organizations to manage the deliberate ...
Anna Aminoff +3 more
wiley +1 more source
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, EarlyView.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source
A Legal Look at the Function, Nature and Structure of the Settlement Guarantee Fund in the Stock and Securities Market [PDF]
تحقیقات مالی اسلامی (پیوسته), 2019 The clearing and settlement operations of securities transactions are subject to numerous risks. Some of these risks can be controlled by tools such as the "Margin" (initial guarantee) by the clearing house, but after all these tools have been ...
Sayyed Ali Hosini +2 more
doaj
Banking and financial crises in United States history: what guidance can history offer policymakers? [PDF]
This paper assesses the validity of comparisons between the current financial crisis and past crises in the United States. We highlight aspects of two National Banking Era crises (the Panic of 1873 and the Panic of 1907) that are relevant for comparison ...
Ellis W. Tallman, Elmus R. Wicker
core
Pricing and Hedging of SOFR Derivatives
Mathematical Finance, EarlyView.ABSTRACT The London Interbank Offered Rate (LIBOR) has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017, the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021, and the New York Fed declared the Treasury repo financing rate, called ...
Matthew Bickersteth +2 more
wiley +1 more source
Legal Brokers of Chinese Investment in Cambodia: Compliance Between Contract and Culture
Regulation &Governance, EarlyView.ABSTRACT In conventional understandings of compliance, lawyers and compliance officers internalize compliance within corporations. Complicating this model, this article argues that compliance professionals may occupy a Janus‐faced role between informality and formality.
Matthew S. Erie +2 more
wiley +1 more source
Three Seas Economic JournalThe objective of this paper is to examine and enhance strategies for managing relationships with counterparties and mitigating risks in utility infrastructure enterprises.
Olena Chepurna, Nikita Razinkin
doaj +1 more source
Stress relief? Funding structures and resilience to the covid shock. [PDF]
J Monet Econ, 2023 Forbes K, Friedrich C, Reinhardt D.
europepmc +1 more source