Results 201 to 210 of about 9,158 (259)

The Design of a Central Counterparty

Journal of Financial and Quantitative Analysis, 2021
This article analyzes the optimal allocation of losses via a Central Clearing Counterparty (CCP) in the presence of counterparty risk. A CCP can hedge this risk by mutualizing losses among its members.
J. Kuong, Vincent Maurin
semanticscholar   +1 more source

Analytical valuation of Asian options with counterparty risk under stochastic volatility models

Journal of futures markets, 2020
In this paper, we consider Asian options with counterparty risk under stochastic volatility models. We propose a simple way to construct stochastic volatility models through the market factor channel.
Xingchun Wang
semanticscholar   +1 more source

Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure

European Financial Management, 2020
This paper investigates neglected risk in structured products. We compare retail prices of structured products with prices available to institutional investors to replicate the same products.
M. Arnold, D. Schuette, A. Wagner
semanticscholar   +1 more source

Order Splitting and Interacting with a Counterparty

Social Science Research Network, 2020
Institutional investors have a strong incentive to find natural counterparties to trade larger amounts at lower costs. We show theoretically that order splitting may facilitate this search, as it gradually signals one's trading interest to the market and
Vincent van Kervel, Amy Kwan, P. Westerholm   +2 more
semanticscholar   +1 more source

A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK

Probability in the engineering and informational sciences (Print), 2020
In this paper, a discrete-time framework is proposed to value power exchange options with counterparty default risk, where counterparty risk is considered in a reduced-form setting and the variance processes of the underlying assets are captured by GARCH
Xingchun Wang, Guangli Xu, Dangyang Li
semanticscholar   +1 more source

Do central counterparties reduce counterparty and liquidity risk? Empirical results

Algorithmic Finance, 2021
A central counterparty (CCP) interposes itself between buyers and sellers of financial contracts to extinguish their bilateral exposures. Therefore, central clearing and settlement through a CCP should affect how financial institutions engage in financial markets. Though, financial institutions’ interactions are difficult to observe and analyze. Based
León, Carlos, Mariño, Ricardo, Cadena, Carlos   +2 more
openaire   +1 more source

Mandatory clearing: the infrastructural authority of central counterparty clearing houses in the OTC derivatives market

Review of International Political Economy, 2019
This study examines the role of central counterparty clearing houses (CCPs) in the over-the-counter (OTC) derivatives market. To achieve this goal, this paper introduces the notion of infrastructural authority. The notion of infrastructure, borrowed from
Lorenzo Genito
semanticscholar   +1 more source

Counterparty risk allocation

Journal of Risk, 2019
We address the problem of minimizing the risk of an exposure (e.g., cash holdings) to a small number of defaultable counterparties based on spectral risk measures, in particular the expected shortfall. The resulting risk-minimal allocation turns out to be economically implausible in a number of ways: When the loss distribution is discrete, only corner ...
openaire   +1 more source

The Use of Credit Default Swaps by Bond Mutual Funds: Liquidity Provision and Counterparty Risk

Journal of Financial Economics, 2017
Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007–2008 financial crisis.
George O. Aragon, Lei Li, Jun Qian
semanticscholar   +1 more source

A Monte Carlo approach to American options pricing including counterparty risk

International Journal of Computational Mathematics, 2018
In this work, we propose a numerical technique to compute the total value adjustment for the pricing of American options when considering counterparty risk.
I. Arregui, B. Salvador, C. Vázquez
semanticscholar   +1 more source