Results 81 to 90 of about 35,019 (249)

Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang, Chen, Si, Li, Shenghong, Liu, Guimei   +3 more
core   +1 more source

The Monetary Policy–Commodities Nexus: A Survey

Journal of Economic Surveys, EarlyView.
ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl, Niklas Humann, Pierre L. Siklos   +2 more
wiley   +1 more source

Do CDS spreads reflect default risks? Evidence from UK bank bailouts [PDF]

, 2010
CDS spreads are generally considered to reflect the credit risks of their reference entities. However, CDS spreads of the major UK banks remained relatively stable in response to the recent credit crisis.
Constantinou, N, Takeyama, A, Vinogradov, D   +2 more
core  

CVA and FVA to Derivatives Trades Collateralized by Cash

, 2013
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining ...
Wu, Lixin
core   +1 more source

Aplikasi Analisis Hirarki Proses pada Model Internal Rating Credit Line Bagi Bank Syariah

Khazanah Sosial, 2020
Bank dalam menjalankan aktivitas bisnisnya senantiasa bersinggungan dengan risiko. Maka dari itu, diperlukan suatu sistem pemeringkatan internal sehingga bank dapat menyeleksi debitur maupun counterparty berdasarkan tingkat risikonya.
Astri Afrilia
doaj   +1 more source

FinTech Lending and Cashless Payments

The Journal of Finance, EarlyView.
ABSTRACT Borrowers' use of cashless payments improves their access to capital from FinTech lenders and predicts a lower probability of default. These relationships are stronger for cashless technologies providing more precise information, and for outflows. Cashless payment usage complements other signals of borrower quality.
PULAK GHOSH, BORIS VALLEE, YAO ZENG
wiley   +1 more source

An Agile Approach to Sourcing Solutions: Embracing Uncertainty for Strategic Relevance

Journal of Supply Chain Management, EarlyView.
ABSTRACT This study examines agile sourcing, an emerging approach to procurement that deliberately incorporates uncertainty to address business challenges. Guided by a critical realist ontology and framing agile sourcing as an information‐processing issue, this study explores the generative mechanisms that enable organizations to manage the deliberate ...
Anna Aminoff, Harri Lorentz, Nikolai Kazantsev, Teemu Marttinen   +3 more
wiley   +1 more source

Model-free bounds on bilateral counterparty valuation [PDF]

In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Haase, Joerdis, Ilg, Melanie, Werner, Ralf   +2 more
core   +1 more source

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source

Pricing and Hedging of SOFR Derivatives

Mathematical Finance, EarlyView.
ABSTRACT The London Interbank Offered Rate (LIBOR) has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017, the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021, and the New York Fed declared the Treasury repo financing rate, called ...
Matthew Bickersteth, Yining Ding, Marek Rutkowski   +2 more
wiley   +1 more source