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Profit and Risk under Subprime Mortgage Securitization
Discrete Dynamics in Nature and Society, 2011 We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs).
M. A. Petersen +4 more
doaj +1 more source
Counterparty credit risk management in industrial corporates [PDF]
Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned.
Langkamp, Christian
core +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Counterparty Credit Risk in OTC Derivatives under Basel III
, 2016 Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses ...
Mabelle Sayah
semanticscholar +1 more source
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
Search and Inventory in Over‐the‐Counter Markets
International Economic Review, Volume 67, Issue 2, Page 697-728, May 2026.ABSTRACT We investigate the sources of the dealer centrality premium in the over‐the‐counter market for corporate bonds. We model dealer heterogeneity by allowing the dealer's status in the network to determine search effort and inventory costs when choosing to conduct riskless principal or principal trades.
Evan Dudley, Hongfei Sun, Chengjie Diao
wiley +1 more source
Credit Derivatives in an Affine Framework [PDF]
We develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms.
Damir Filipovic, Li Chen
core
Counterparty risk analysis using Merton's structural model under Solvency II
Management Letters/Cuadernos de Gestión, 2014 The new solvency regulation in the European insurance sector, denominated Solvency II, will completely transform the system of capital requirements estimation.
Luis Otero González +3 more
doaj +1 more source
Counterparty Credit Risk Simulation Analytics
, 2022 https://ia801006.us.archive.org/24/items/ccrSimulation/ccrSimulation-2 ...
openaire +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