The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]
, 2011 By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Kapar, B., Olmo, J.
core
The Interest Rate Effects of Government Debt Maturity: Solving the Bond Conundrum
The World Economy, EarlyView.ABSTRACT Using an empirical model, this paper finds that shortening the average maturity of US Treasury debt held outside the Federal Reserve by 1 year reduces the 5‐year forward 10‐year yield by between 130 and 150 basis points. Based on a pre‐crisis period, these estimates suggest portfolio balance effects are unlikely to reflect only post‐crisis ...
Jagjit S. Chadha +2 more
wiley +1 more source
CVA calculation for CDS on super senior ABS CDO [PDF]
The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high ...
Li, Hui
core +1 more source
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes [PDF]
, 2014 We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011.
Brigo, Damiano +3 more
core
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
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
Social Science Research Network, 2017 Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty for major ...
Rima Turk-Ariss
semanticscholar +1 more source
Regulating Over‐the‐Counter Markets
The Journal of Finance, Volume 80, Issue 4, Page 1929-1962, August 2025.ABSTRACT Over‐the‐counter (OTC) trading thrives despite competition from exchanges. We let OTC dealers cream skim from exchanges in an otherwise standard Glosten and Milgrom framework. Restricting the dealer's ability to cream skim induces “cheap substitution”: some traders exit while others with larger gains from trade enter.
TOMY LEE, CHAOJUN WANG
wiley +1 more source
A network of business relations to model counterparty risk [PDF]
This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model.
Antonella Basso, Diana Barro
core
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