Results 251 to 260 of about 40,103 (280)

Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk: Specification, Parametrisation, Valuation)

, 2018
In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions.
Christian P. Fries, Peter Kohl-Landgraf
semanticscholar   +1 more source

Impact of Counterparty Risk on the Reinsurance Market

SSRN Electronic Journal, 2011
Abstract We investigate the impact of counterparty risk (from the insurer’s viewpoint) on contract design in the reinsurance market. We study a multiplicative default risk model with partial recovery and where the probability of the reinsurer’s default depends on the loss incurred by the insurer. The reinsurer (reinsurance seller) is assumed to be risk-
Carole Bernard, Carole Bernard, Michael Ludkovski   +2 more
openaire   +4 more sources

The Xva Challenge: Counterparty Credit Risk, Funding, Collateral and Capital

, 2015
A detailed, expert-driven guide to today's major financial point of interest The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital is a practical guide from one of the leading and most influential credit practitioners, Jon ...
J. Gregory
semanticscholar   +1 more source

Dynamic Hedging of Counterparty Exposure [PDF]

, 2014
We study mathematical aspects of dynamic hedging of Credit Valuation Adjustment (CVA) in a portfolio of OTC financial derivatives. Since the sub-prime crisis, the counterparty risk and the wrong way risk are crucial issues in connection with valuation and risk management of credit derivatives.
Tomasz R. Bielecki, Stéphane Crépey
openaire   +1 more source

Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets

, 2016
U.S. supervisory stress tests to date have focused on the resilience of large banks to withstand the direct effects of credit and trading shocks. Using data from Depository Trust & Clearing Corporation (DTCC), we apply the Federal Reserve's Comprehensive
Jill Cetina, S. Rajan, M. Paddrik
semanticscholar   +1 more source

Central Counterparties and Derivatives

2012
The globalisation of financial markets has attracted much academic and policymaking commentary in recent years, especially with the growing number of banking and financial crises and the current credit crisis that has threatened the stability of the global financial system. This major Research Handbook sets out to address some of the fundamental issues
openaire   +3 more sources

Central Counterparty Capitalization and Misaligned Incentives

, 2016
Financial stability depends on the effective regulation of central counterparties (CCPs), which must take account of the incentives that drive CCP behavior. This paper studies the incentives of a for-profit CCP with limited liability.
Wenqian Huang
semanticscholar   +1 more source

The Dark Side of Bank Resolution: Counterparty Risk through Bail-in

Social Science Research Network, 2019
The 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
semanticscholar   +1 more source

Counterparty Credit Risk

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...
openaire   +2 more sources

Dealing with the Borrower or Counterparty

1994
A 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.
openaire   +2 more sources