Results 31 to 40 of about 40,103 (280)
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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AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
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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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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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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
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Evaluating International Agreements: The Voluntarist Reply and Its Limits
, 2023 Journal of Political Philosophy, EarlyView.
Oisin Suttle
wiley +1 more source
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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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
Bankruptcy, Counterparty Risk, and Contagion* [PDF]
Review of Finance, 2006 This paper provides a unifying framework for the modeling of various types of credit risks such as contagion effects. We argue that Markov chains can efficiently be used to tackle these problems. However, our approach is not limited to pricing problems with contagion.
Steffensen, Mogens, Kraft, Holger
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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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