Results 241 to 250 of about 40,103 (280)

Counterparty Credit Risk and AmericanOptions

The Journal of Derivatives, 2010
One 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
Jun Yang, Peter Klein
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Counterparty risk, central counterparty clearing and aggregate risk

Annals of Finance, 2017
I construct a model of bilateral trading of over-the-counter (OTC) derivatives to study the performance of central counterparty (CCP) clearing. I first show how buyers are exposed to counterparty risk under bilateral clearing. I then show how a CCP can fully insure against counterparty risk through risk-mutualization and achieve full idiosyncratic risk-
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Counterparty Risk: A Review

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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Counterparty Risk and the Pricing of Defaultable Securities [PDF]

The Journal of Finance, 2000
ABSTRACTMotivated by recent financial crises in East Asia and the United States where the downfall of a small number of firms had an economy‐wide impact, this paper generalizes existing reduced‐form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure
Robert A. Jarrow, Fan Yu
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Central Counterparties and the Topology of Clearing Networks [PDF]

SSRN Electronic Journal, 2013
Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the central counterparty. By assuming that margin requirements
Galbiati, Marco, Soramaki, Kimmo
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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.
G. Aragon, Lei Li, Jun Qian
semanticscholar   +1 more source

Resolution of Failing Central Counterparties [PDF]

SSRN Electronic Journal, 2014
A central counterparty (CCP) is a financial market utility that lowers counterparty default risk on specified financial contracts by acting as a buyer to every seller, and as a seller to every buyer. When at risk of failure, a CCP could be forced into a normal insolvency process such as bankruptcy, or an administrative failure resolution process.
Darrell Duffie, Darrell Duffie
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The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

, 2017
This study presents a pricing model for power exchange options, in which the possibility of default by the risky counterparty as well as the arrival of important business information are taken into consideration.
Xingchun Wang, Shiyu Song, Yongjin Wang
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

Pricing of vulnerable exchange options with early counterparty credit risk

The North American journal of economics and finance, 2022
Donghyun Kim, Geonwoo Kim, Ji‐Hun Yoon
semanticscholar   +1 more source