Results 91 to 100 of about 107,244 (261)

Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data. [PDF]

Empir Econ, 2023
Zema SM.
europepmc   +1 more source

Credit valuation adjustment modelling during a global low interest rate environment [PDF]

, 2015
The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails.
Macek, Petr, Teplý, Petr
core  

CVA calculation for CDS on super senior ABS CDO [PDF]

The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high ...
Li, Hui
core   +1 more source

Contracting innovations and the evolution of clearing and settlement methods at futures exchanges [PDF]

Defining futures contracts as substitutes for associated cash transactions enables a discussion of the evolution of controls over contract nonperformance risk. These controls are incorporated into exchange methods for clearing contracts.
James T. Moser
core  

Counterparty Risk in Insurance Contracts: Should the Insured Worry about the Insurer? [PDF]

We analyze the effect of counterparty risk on insurance contracts using the case of credit risk transfer in banking. In addition to the familiar moral hazard problem caused by the insuree's ability to influence the probability of a claim, this paper ...
James R. Thompson
core  

Identification of threats and risks to the financial security of commercial banks in the context of the development of non-cash payments

Економіка, управління та адміністрування
The article is devoted to the study of the issue of identifying threats and risks to the financial security of commercial banks. The purpose of the study is to classify and assess threats and risks to the financial security of banking institutions caused
O.G. Popov
doaj   +1 more source

Network Structure and Counterparty Credit Risk [PDF]

, 2015
In this paper we offer a novel type of network model which can capture the precise structure of a financial market based, for example, on empirical findings. With the attached stochastic framework it is further possible to study how an arbitrary network structure and its expected counterparty credit risk are analytically related to each other.
openaire   +2 more sources

Assessment of associated credit risk in the supply chain based on trade credit risk contagion. [PDF]

PLoS One, 2023
Xie X, Zhang F, Liu L, Yang Y, Hu X.
europepmc   +1 more source

Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model [PDF]

, 2009
Damiano Brigo, Marco Tarenghi
openalex   +1 more source

"A Simple Proposal to Resolve the Disruption of Counterparty Risk In Short-Term Credit Markets" [PDF]

The impaired risk assessment caused by the collapse of mortgage-backed securities is the major problem threatening the stability of the American financial system, yet it is not clear that removing these assets from institutional balance sheets, as the ...
Jan Kregel
core