Results 21 to 30 of about 35,019 (249)
Mitigating Counterparty Risk [PDF]
SSRN Electronic Journal, 2015 This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation’s (DTCC) proprietary bilateral credit default swap transactions and positions. We investigate whether financial institutions that are active buyers of protection from a specific counterparty ...
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Гуманитарные и юридические исследования, 2021 The article studies the influence of reforming the social sphere in the Empire of the period of Alexander II in the aspect of the resort area. The role of personality in improving the resort business is considered.
Lidiya Krasnokutskaya +1 more
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Possibilities of eliminating ineffective alternatives in the multi-criteria selection of counterparties for horizontal cooperation [PDF]
MATEC Web of Conferences, 2021 The report presents an approach to the filtration of alternatives when choosing a counterparty for horizontal cooperation based on multiple criteria. Filtration procedures precede the optimization procedures for multi-criteria decisions.
Brodetskiy Gennady +2 more
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Stochastic Processes and their Applications, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stéphane Crépey, Shiqi Song
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Digital Technologies: New Reality of Counterparty Reliability Analysis
Учёт. Анализ. Аудит, 2022 The research carried the potential analysis for using digital tools to verify the due diligence of a counterparty out at the stage of pre-contractual interaction with the organization, which allows for reduced possible financial, legal, reputational and ...
S. M. Bychkova, O. V. Shvets
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Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
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CDS pricing under Basel III: capital relief and default protection [PDF]
, 2012 Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs ...
Green, Andrew, Kenyon, Chris
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Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk
Discrete Dynamics in Nature and Society, 2018 We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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Bank Risk Determinants in Latin America
Risks, 2020 Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system.
Mariña Martínez-Malvar +1 more
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CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]
, 2013 We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
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