Results 51 to 60 of about 40,103 (280)
, 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
Counterparty Risk Subject to ATE [PDF]
SSRN Electronic Journal, 2012 Rating trigger ATE (Additional Termination Event) is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default is often preceded by rating downgrades, ATE clause effectively reduces the counterparty credit risk by ...
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Business Strategy and the Environment, EarlyView.ABSTRACT This study analyzes the incidence of environmental reporting on the financial performance (FP) of top banks in Brazil, Russia, India, China and South Africa (“BRICS”) countries using data from 50 leading banks from 2018 to 2023. Using panel regression analysis, the findings indicate that environmental reporting significantly impacts accounting‐
Mithilesh Gidage +2 more
wiley +1 more source
Price Discovery and Efficiency in Uniswap Liquidity Pools
Journal of Futures Markets, Volume 45, Issue 8, Page 1023-1048, August 2025.ABSTRACT Using almost three years of minute‐level data, we show that the efficiency of Uniswap v3 is much improved relative to v2, and some v3 pools are approaching or even exceeding Bitstamp in terms of price discovery ability. Regression results suggest that the channels of influence for these improvements are an increase in informed liquidity ...
Carol Alexander +3 more
wiley +1 more source
Counterparty Credit Limit: Identifikasi, Pengukuran dan Pemetaan Risiko Bank-Bank di Indonesia
Journal of Management and Business Review, 2021 This study aims to carry out risk management planning, identification, qualitative analysis and quantitative risk calculations, establishing counterparty credit limits on banks in Indonesia.
Saur Costanius Simamora
doaj +1 more source
Water Shortage and Mitigation Solutions: A Focus on New Physical and Financial Hedging Tools
Journal of Futures Markets, EarlyView.ABSTRACT Climate change, water mismanagement, and overconsumption are intensifying droughts and water shortages worldwide. Beyond health risks, water scarcity threatens food security, disrupts agriculture, and can fuel conflicts—underscoring the need for sustainable water management.
Nicola Bartolini +2 more
wiley +1 more source
A New Default Probability Calculation Formula and Its Application under Uncertain Environments
Discrete Dynamics in Nature and Society, 2018 In the real world, corporate defaults will be affected by both external market shocks and counterparty risks. With this in mind, we propose a new default intensity model with counterparty risks based on both external shocks and the internal contagion ...
Liang Wu, Xian-bin Mei, Jian-guo Sun
doaj +1 more source
Procedia Economics and Finance, 2014 AbstractThe Basel Committee on Banking Supervision (BCBS) has a policy framework for how clearing member banks should treat their exposures to central counterparties (CCPs). Default funds play a crucial role as a risk mitigant in this framework. Furthermore, the Committee on Payment and Settlement Systems and Technical Committee of the International ...
Coenraad C.A. Labuschagne, Antonie Kotze
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Optimal Insurance with Counterparty Default Risk [PDF]
SSRN Electronic Journal, 2012 We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer's assets. This allows us to understand the joint effect of insolvency risk and background risk on optimal contracts.
Biffis, Enrico, Millossovich, Pietro
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Systemic Credit Risk Premium: Insights From Credit Derivatives Markets
Journal of Futures Markets, EarlyView.ABSTRACT This study examines the market‐implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super‐senior tranches and their ...
Kiwoong Byun, Baeho Kim, Dong Hwan Oh
wiley +1 more source