Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
core +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
Optimal investment with counterparty risk: a default-density modeling approach [PDF]
, 2009 We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time.
Jiao, Ying, Pham, Huyen
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Coaxing Compliance: Ethiopian Lawyers, Chinese Companies, and the Cultivation of Respect
Regulation &Governance, EarlyView.ABSTRACT Over the past three decades, a growing number of Chinese enterprises have entered Ethiopia's construction and manufacturing sectors as contractors and investors. While adapting to a new regulatory environment, many of these companies have faced administrative challenges and accusations of noncompliance, some of which have been brought to court.
Miriam Driessen
wiley +1 more source
The Limits of Central Counterparty Clearing: Collusive Moral Hazard and Market Liquidity [PDF]
, 2013 Can central counterparty (CCP) clearing control counterparty risk in the presence of risk taking that can aggravate such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements for two ...
Koeppl, Thorsten V.
core
Regulation &Governance, EarlyView.ABSTRACT Much of scholarly writing on compliance is derived from the experiences of Western multi‐national corporations operating in developed economies. This introduction to the special issue “China in Compliance” departs from such convention by asking how compliance works in China.
Matthew S. Erie
wiley +1 more source
Utilization Schemes of the Pre-Settlement Risk Limits
Finanse i Prawo FinansoweThe purpose of the article is to investigate the selected method employed to manage the counterparty credit risk, namely the application of various risk limits.
Piotr Wybieralski
doaj +1 more source
Semi-analytic pricing formulas for basket credit-linked notes with and without counterparty risks
Systems Science & Control Engineering, 2020 This paper discusses the pricing of basket credit linked notes (BCLN) under the reduced model. Three types of BCLNs are discussed: the first, the second and the mth-to-default BCLNs with and without counterparty risks.
Yongzeng Lai +3 more
doaj +1 more source
Resource‐Rational Virtual Bargaining for Moral Judgment: Toward a Probabilistic Cognitive Model
Topics in Cognitive Science, EarlyView.Abstract Recent theoretical work has argued that moral psychology can be understood through the lens of “resource rational contractualism.” The view posits that the best way of making a decision that affects other people is to get everyone together to negotiate under idealized conditions. The outcome of that negotiation is an arrangement (or “contract”)
Diego Trujillo +4 more
wiley +1 more source
Counterparty credit risk management in industrial corporates [PDF]
Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned.
Langkamp, Christian
core +1 more source