Results 21 to 30 of about 9,158 (259)
Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
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Measuring Counterparty Credit Exposure to a Margined Counterparty [PDF]
Finance and Economics Discussion Series, 2005 Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure.
openaire +1 more source
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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Notification of the counterparty of unilateral withdrawal from the agreement
Bulletin of Kharkiv National University of Internal Affairs, 2023 The study focuses on the issue of notification of the initiator of unilateral withdrawal from a contract to its counterparty of such withdrawal. In particular, the problematic issues of determining the form and procedure for such notification and ...
Yu. I. Chalyi
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Current and prospective estimate of counterparty risk through dynamic neural networks [PDF]
Risk Management Magazine, 2022 The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties.
Alessio Agnese +2 more
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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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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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The Counterparty Risk Exposure of ETF Investors
Journal of Banking & Finance, 2019 As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk.
Christophe Hurlin +3 more
semanticscholar +1 more source
A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK [PDF]
International Journal of Theoretical and Applied Finance, 2018 We introduce a dynamic model of the default waterfall of derivatives central counterparties and propose a risk sensitive method for sizing the initial margin, and the default fund and its allocation among clearing members.
T. Bielecki, Igor Cialenco, Shibi Feng
semanticscholar +1 more source
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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