Results 41 to 50 of about 40,103 (280)
Stochastic Processes and their Applications, 2015 Abstract We study a BSDE with random terminal time that appears in the modeling of counterparty risk in finance. We model the terminal time as an invariant time, i.e. a time such that local martingales with respect to a reduced filtration and a possibly changed probability measure, once stopped right before that time, stay local martingales with ...
Stéphane Crépey, Shiqi Song
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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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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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Local Central Counterparty [PDF]
Revista de Studii Financiare, 2019 On the 29thof January 2019, the Extraordinary General Meeting of Shareholders of the company Bucharest Stock Exchange (BVB) decided to incorporate a joint-stock company in order to authorize and operate it as a central counterparty. The business
Laurențiu Paul Barangă
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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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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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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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Clearing, Counterparty Risk, and Aggregate Risk [PDF]
IMF Economic Review, 2012 The paper studies the optimal design of clearing systems. The paper analyzes how counterparty risk should be allocated, whether traders should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of centralized clearing, as opposed to no or decentralized clearing, is the mutualization of ...
Florian Heider +4 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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Time-Inconsistent Bargaining and Cross-Commitments
Games, 2023 The paper studies bargaining games involving players with present-biased preferences. The paper shows that the relative timing of bargaining rewards and bargaining costs will determine whether the players’ present-bias will affect bargaining outcomes. In
Manuel A. Utset
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