Results 11 to 20 of about 40,103 (280)
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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Central Counterparty Risk [PDF]
, 2012 A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member. This does not necessarily require the default of the CCP itself.
Arnsdorf, Matthias
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The Emergence and Future of Central Counterparties [PDF]
Working paper (Federal Reserve Bank of Philadelphia), 2010 We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs exist.
Thorsten V. Koeppl, Cyril Monnet
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Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading [PDF]
Applied Mathematical Finance, 2017 A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures.
Gould, M +3 more
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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.
Wenxin Du +3 more
semanticscholar +3 more sources
Restructuring Counterparty Credit Risk [PDF]
International Journal of Theoretical and Applied Finance, 2013 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Claudio Albanese +2 more
openalex +12 more sources
FX counterparty risk and trading activity in currency forward and futures markets [PDF]
, 2012 The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate ...
Richard M. Levich
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Does a Central Clearing Counterparty Reduce Counterparty Risk? [PDF]
SSRN Electronic Journal, 2011 We show whether central clearing of a particular class of derivatives lowers counterparty risk. For plausible cases, adding a central clearing counterparty (CCP) for a class of derivatives such as credit default swaps reduces netting efficiency, leading to an increase in average exposure to counterparty default.
Darrell Duffie +3 more
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Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties [PDF]
IMF Working Papers, 2009 Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year.
James Aitken, Manmohan Singh
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Pricing Vulnerable Options in the Bifractional Brownian Environment with Jumps
Journal of Mathematics, 2021 In this paper, we study the valuation of European vulnerable options where the underlying asset price and the firm value of the counterparty both follow the bifractional Brownian motion with jumps, respectively.
Panhong Cheng, Zhihong Xu
doaj +1 more source