Results 11 to 20 of about 9,158 (259)
MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
ASTIN Bulletin: The Journal of the International Actuarial Association, 2021 This paper studies the optimal insurance design from the perspective of an insured when there is possibility for the insurer to default on its promised indemnity.
Tim J. Boonen, Wenjun Jiang
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Classifying Counterparty Sector in EMIR Data
Data Science for Economics and Finance, 2021 The data collected under the European Market Infrastructure Regulation (“EMIR data”) provide authorities with voluminous transaction-by-transaction details on derivatives but their use poses numerous challenges.
F. Lenoci, Elisa Letizia
semanticscholar +1 more source
RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 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).
Albanese, Claudio +2 more
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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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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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Revista de Contabilidad: Spanish Accounting Review, 2020 Under the IFRS 9 impairment model, entities must estimate the PD (Probability of Default) for all financial assets (and other elements) not measured at fair value through profit or loss.
David Delgado-Vaquero +2 more
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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
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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, Haoxiang Zhu
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Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk
Discrete Dynamics in Nature and Society, 2020 In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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Mitigating Counterparty Risk [PDF]
SSRN Electronic Journal, 2015 This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation’s (DTCC) proprietary bilateral credit default swap transactions and positions. We investigate whether financial institutions that are active buyers of protection from a specific counterparty ...
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