Results 41 to 50 of about 35,019 (249)
, 2008 In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the
Gikhman, Ilya
core +3 more sources
The counterparty credit risk appetite in the Polish over-the-counter derivatives market
International Entrepreneurship ReviewObjective: The article aims to study the selected approach used to manage the counterparty credit risk, namely the application of the pre-settlement risk limits in the Polish over-the-counter derivatives market between financial institutions and non ...
Piotr Wybieralski
doaj +1 more source
Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion
Complexity, 2020 Banks and enterprises constitute a multilayered, multiattribute, multicriteria credit-related super network due to financial transaction behaviors, such as credit, wealth management, savings, and derivatives.
Tingqiang Chen +3 more
doaj +1 more source
, 2006 Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour.
Koeppl, Thorsten V., Monnet, Cyril
openaire +3 more sources
Credit Risk Assessment in the Climate Shadow: Evidence From White and Grey Literature
Business Strategy and the Environment, EarlyView.ABSTRACT Climate change is reshaping financial stability, making climate risk a critical component of banks' risk management. However, the absence of standardized frameworks validated by central authorities hinders banks' ability to integrate climate risk into existing credit risk models.
Rodolfo Raimondi +3 more
wiley +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT To achieve carbon neutrality, it is crucial that private commercial and noncommercial firms also do their bit to adopt and implement green projects (GPs). Nonetheless, there is a lack of scholarly understanding regarding the elements that influence the implementation of GP by private firms, as well as the barriers to GP adoption and strategies
Xiaozhen Guo +3 more
wiley +1 more source
Bank Capital Regulation and Derivatives Clearing
International Journal of Finance &Economics, EarlyView.ABSTRACT As part of the post global financial crisis banking reforms, regulators introduced a leverage ratio requirement, a minimum capital requirement over a bank's total exposures. We assess the consequences of this requirement for derivative clearing services to clients, which creates exposures for the dealers, by exploiting its earlier introduction
Jonathan Acosta‐Smith +2 more
wiley +1 more source
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
doaj +1 more source
Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties
IMF Working Papers, 2009 Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year.
James Aitken, Manmohan Singh
openaire +3 more sources
Effect of Prudential Policies on Sovereign Bond Markets: Evidence From the ASEAN‐4 Countries
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of prudential policies on the sovereign vulnerability of ASEAN‐4 countries. We measure sovereign vulnerability within the network connectedness of sovereign bonds between ASEAN‐4 countries (Indonesia, Malaysia, the Philippines and Thailand) and six other countries (the US, the UK, the European Union, China ...
Joshua Aizenman +4 more
wiley +1 more source