Results 31 to 40 of about 35,019 (249)
Pricing vulnerable European options with dynamic correlation between market risk and credit risk
Journal of Management Science and Engineering, 2020 In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
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The Emergence and Future of Central Counterparties [PDF]
Working paper (Federal Reserve Bank of Philadelphia), 2010 We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs exist.
Thorsten V. Koeppl, Cyril Monnet
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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Арктика и Север, 2022 The article provides a systematic analysis of the critical economic and legal factors affecting the current state of cargo flow in the Northern Sea Route in the convergence of the Asian and European markets.
Aleksey V. Grigorishchin +4 more
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Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model
Risks, 2019 One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads.
Ioannis Anagnostou, Drona Kandhai
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Coin Transfer Unlinkability Under the Counterparty Adversary Model
Ledger, 2022 Unlinkability is a crucial property of cryptocurrencies that protects users from deanonymization attacks. However, currently, even anonymous cryptocurrencies do not necessarily attain unlinkability under specific conditions. For example, Mimblewimble,
Takeshi Miyamae, Kanta Matsuura
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Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk
Discrete Dynamics in Nature and Society, 2017 This paper gives analytical formulas for lookback and barrier options on underlying assets that are exposed to a counterparty risk. The counterparty risk induces a drop in the asset price, but the asset can still be traded after this default time.
Li Yan
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A primer on counterparty valuation adjustments in South Africa
South African Journal of Economic and Management Sciences, 2014 Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads.
Gary Wayne van Vuuren +1 more
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Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments [PDF]
, 2015 We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient
Crepey, Stephane +3 more
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ComputationThe market risk measurement of a trading portfolio in banks, specifically the practical implementation of the value-at-risk (VaR) and expected shortfall (ES) models, involves intensive recalls of the pricing engine.
N. Lehdili, P. Oswald, H. D. Nguyen
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