Results 231 to 240 of about 40,103 (280)
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Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure
European Financial Management, 2020This 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
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Do central counterparties reduce counterparty and liquidity risk? Empirical results
Algorithmic Finance, 2021A 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
Carlos Cadena +3 more
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A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK
Probability in the engineering and informational sciences (Print), 2020In 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
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Central counterparty auction design
, 2020We analyze the role of auctions in managing the default of a clearing member in a generic central counterparty (CCP). We first consider three established alternative sealed bid auction formats in which clearing members simultaneously submit bids for a ...
Gerardo Ferrara, Xin Li
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Economic Links and Counterparty Risk [PDF]
SSRN Electronic Journal, 2011 Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of financial networks that is suitable for the construction of proxies for counterparty risk. Using data on the U.S.
Ramazan Gençay, Daniele Signori
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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
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
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Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
Quantitative Finance, 2021Dynamic exposure and default contagion in the over-the-counter (OTC) market is considered in this paper to analyze the time-dependent priority of central counterparty (CCP) clearing.
Yanchu Liu +3 more
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Assessing the Safety of Central Counterparties
SSRN Electronic Journal, 2021We propose a general framework for empirically assessing a central counterparty's capacity to cope with severe financial stress. Using public disclosure data for global central counterparties (CCPs), we show how to estimate the probability that a CCP could cover any specified fraction of payment defaults by its members.
H. Peyton Young +3 more
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, 2019
This article investigates market discipline in the reinsurance market by examining the sensitivity of reinsurance demand to reinsurer counterparty risk for a sample of US property-liability insurance companies.
S. Park, Xiaoying Xie, Pinghai Rui
semanticscholar +1 more source
This article investigates market discipline in the reinsurance market by examining the sensitivity of reinsurance demand to reinsurer counterparty risk for a sample of US property-liability insurance companies.
S. Park, Xiaoying Xie, Pinghai Rui
semanticscholar +1 more source
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 ...
openaire +2 more sources