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Central Counterparty Interoperability [PDF]
, 2012 Many securities and derivatives markets, including most that are traded on an exchange, are served by a central counterparty (CCP). After trades are executed, the CCP inserts itself between both trading counterparties, to protect them from the risk that one defaults before the obligations are settled.
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2016
Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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Valuing spread options with counterparty risk and jump risk
, 2020Zelei Li, Xingchun Wang
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CENTRAL COUNTERPARTY INTEROPERABILITY
Прогрессивная экономикаЦелью настоящего исследования является оценка потенциала и перспектив обеспечения функциональной совместимости между центральными контрагентами, действующими на рынке ценных бумаг Российской Федерации. Основным методом исследования, используемым в настоящей статье, является метод сравнительного анализа. В рамках настоящего исследования проанализированы
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Investor behavior, information disclosure strategy and counterparty credit risk contagion
Chaos, Solitons & Fractals, 2019Lei Wang, Shouwei Li, Tingqiang Chen
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Pricing of vulnerable options with early counterparty credit risk
The North American journal of economics and finance, 2019Junkee Jeon, Geonwoo Kim
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