Stress relief? Funding structures and resilience to the covid shock. [PDF]
J Monet Econ, 2023 Forbes K, Friedrich C, Reinhardt D.
europepmc +1 more source
On the mathematical form of CVA in Basel III. [PDF]
Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments.
Geurdes, Han / J. F.
core +1 more source
An Empirical Analysis of Equity Default Swaps (I): Univariate Insights [PDF]
The aim of this paper is to describe a new methodology to assess the risk of any Equity Default Swap (EDS). We show that as credit ratings can measure counter-party risk, it is technically possible to provide a quantitatively derived “through the cycle ...
Arnaud_de_Servigny, Norbert_Jobst
core
Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China. [PDF]
Econ Model, 2023 Li Z, Pei S, Li T, Wang Y.
europepmc +1 more source
The cost of counterparty risk and collateralization in longevity swaps [PDF]
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by ...
Biffis, Enrico +3 more
core +1 more source
How does risk information dissemination affect risk contagion in the interbank market? [PDF]
PLoS One, 2022 Li Z, Liu X.
europepmc +1 more source
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending [PDF]
, 2011 Damiano Brigo
openalex +1 more source
Systemic risk prevention policies targeting systemically important banks: Does clustering pattern matter? [PDF]
PLoS One, 2023 Zhu B, Hu X, Deng Y, Lin R.
europepmc +1 more source
On the effectiveness of the Federal Reserve's new liquidity facilities [PDF]
This paper examines the effectiveness of the new liquidity facilities that the Federal Reserve established in response to the recent financial crisis.
Tao Wu
core
Relations between the Basel Index and the Level of Indebtedness of Brazilian Families
Revista Sociedade, Contabilidade e Gestão, 2016 The Basel Accord imposes a regulatory minimum capital requirement for banks to maintain their liquidity and are less susceptible to shocks from the interconnection of the financial system.
Sabrina Espinele da Silva +1 more
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