Results 11 to 20 of about 35,019 (249)
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 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 ...
Thorsten V. Koeppl
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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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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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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
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Notification of the counterparty of unilateral withdrawal from the agreement
Bulletin of Kharkiv National University of Internal Affairs, 2023 The study focuses on the issue of notification of the initiator of unilateral withdrawal from a contract to its counterparty of such withdrawal. In particular, the problematic issues of determining the form and procedure for such notification and ...
Yu. I. Chalyi
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Current and prospective estimate of counterparty risk through dynamic neural networks [PDF]
Risk Management Magazine, 2022 The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties.
Alessio Agnese +2 more
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