Results 221 to 230 of about 35,019 (249)
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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 ...
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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 ...
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Dynamic Investment and Counterparty Risk
Applied Mathematics & Optimization, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bo, Lijun, Capponi, Agostino
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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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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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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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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
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Central Counterparties and Their Regulation
2022Abstract This chapter examines how central counterparties (CCP) evolve from informal market clubs to pivotal financial market infrastructures mandated by public policy. It outlines the transformation of CCPs as they expand their roles and adopt robust risk management frameworks, such as layered margining, default waterfalls, and recovery
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Dealing with the Borrower or Counterparty
1994A positive relationship makes it easier to deal with a troubled borrower, but not easy. The problems are complex and varied. Here we highlight the major points.
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Annual Review of Financial Economics, 2014
This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA). Estimating these quantities requires modeling the probabilities of default and the loss given default, recognizing the dependence structure among all these inputs.
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This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA). Estimating these quantities requires modeling the probabilities of default and the loss given default, recognizing the dependence structure among all these inputs.
openaire +2 more sources