Results 31 to 40 of about 9,158 (259)

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
doaj   +1 more source

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, Laura Baselga-Pascual   +1 more
doaj   +1 more source

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
doaj   +1 more source

Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations

Mathematics
Counterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili, Pascal Oswald, Othmane Mirinioui   +2 more
doaj   +1 more source

Economical and Legal Barriers and Its Potential Overcoming During the Northern Sea Route Exploitation in the Context of Pan-Asian Trade

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, Tatyana Yu. Sorokina , Maksim Yu. Zadorin , Dilmurad B. Yakhyaev , Irina E. Bashkina   +4 more
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Social Science Research Network, 2019
The collapse of Lehman Brothers illustrated the importance of managing prime broker counterparty risks for hedge funds. Liquidity shocks to prime brokers can lead to cycles of deleveraging that produce losses at funds and potentially have harmful effects
Mathias S. Kruttli, Phillip J. Monin, Sumudu W. Watugala   +2 more
semanticscholar   +1 more source

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
doaj   +1 more source

Problems with the application of civil law measures of operative influence on a contractual counterparty

Jus Strictum
The legal regulation of measures of operative influence enshrined in the norms of the Civil Code of the Russian Federation, both in their general form for all contractual obligations (Articles 328, 359, 397, 450.1) and in the special norms of the Civil ...
Igor V. Mashtakov
doaj   +1 more source