Results 101 to 110 of about 111,357 (244)
Invariance Properties in the Dynamic Gaussian Copula Model*
ESAIM: Proceedings and Surveys, 2017 Based on Gaussian tail distribution estimates of independent interest, we study the mathematical properties of the default times (or any of their minima) in the dynamic Gaussian copula model.
Crépey Stéphane, Song Shiqi
doaj +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
VALUING CREDIT DEFAULT SWAPS II: MODELING DEFAULT CORRELATIONS [PDF]
, 2000 This paper extends the analysis in Valuing Credit Default Swaps I: No Counter party Default Risk to provide a methodology for valuing credit default swaps that takes account of counterparty default risk and allows the payoff to be contingent on defaults ...
Hull, John +2 more
core
Can digital financial awareness enhance enterprises' business credit?
International Review of Economics & FinanceThis study demonstrates that improved digital finance understanding significantly bolsters firm creditworthiness through three independent but interconnected economic mechanisms.
Bo Wu, Suhong Liao
doaj +1 more source
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
A network of business relations to model counterparty risk [PDF]
This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model.
Antonella Basso, Diana Barro
core
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
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
Економіка, управління та адмініструванняThe 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
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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