Results 211 to 220 of about 9,158 (259)
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Counterparty risk, central counterparty clearing and aggregate risk
Annals of Finance, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Pricing of vulnerable exchange options with early counterparty credit risk
The North American journal of economics and finance, 2022Donghyun Kim, Geonwoo Kim, Ji‐Hun Yoon
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Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
Japan journal of industrial and applied mathematics, 2022Donghyun Kim, Ji‐Hun Yoon
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The Dark Side of Bank Resolution: Counterparty Risk through Bail-in
Social Science Research Network, 2019The introduction of bail-in resolution powers to impose the costs of a large bank’s failure on its creditors (rather than on the taxpayer) is the most intriguing initiative of the post-financial crisis regulatory framework.
W. Ringe, Jatine Patel
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Counterparty Credit Risk and AmericanOptions
The Journal of Derivatives, 2010One of the many counterintuitive things students in a first course on options learn is that premature exercise of an American call option on a nondividend paying stock is a mistake, and that for a dividend-paying stock, early exercise is never rational except just before the stock goes ex-dividend. Efforts to incorporate counterparty credit risk in the
Peter Charles Klein, Jun Yang
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Journal of Risk Management in Financial Institutions, 2012
The financial crisis demonstrated the inadequacy of the management of counterparty credit risk and the vulnerability of financial structures to counterparty concerns. Three possible solutions are proposed to mitigate such risks in the future: improved network visibility to understand credit chains; the clearing of transactions centrally to improve ...
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The financial crisis demonstrated the inadequacy of the management of counterparty credit risk and the vulnerability of financial structures to counterparty concerns. Three possible solutions are proposed to mitigate such risks in the future: improved network visibility to understand credit chains; the clearing of transactions centrally to improve ...
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Wrong-way risk bounds in counterparty credit risk management
Journal of Risk Management in Financial Institutions, 2017We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a non-linear loss function.
Amir Memartoluie +2 more
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Quantitative Finance, 2013
Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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2012
This chapter introduces the modeling of search and random matching in large economies. The objective is to build intuition and techniques for later chapters. After some mathematical prerequisites, it defines the notion of random matching. It then invokes the law of large numbers to calculate the cross-sectional distribution of types of matches. This is
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This chapter introduces the modeling of search and random matching in large economies. The objective is to build intuition and techniques for later chapters. After some mathematical prerequisites, it defines the notion of random matching. It then invokes the law of large numbers to calculate the cross-sectional distribution of types of matches. This is
openaire +1 more source