Results 111 to 120 of about 107,244 (261)
A Mellin Transform Approach to the Pricing of Options with Default Risk. [PDF]
Comput Econ, 2022 Choi SY, Veng S, Kim JH, Yoon JH.
europepmc +1 more source
CDS as Insurance: Leaky Lifeboats in Stormy Seas [PDF]
In this paper we update the traditional insurance economics framework to incorporate key features of the credit default swap (CDS) market. First, we allow for insurer insolvency, with asymmetric information as to its probability.
Stephens, Eric, Thompson, James
core
Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps
, 2015 Laura Ballotta +2 more
openalex +1 more source
In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then
Gikhman, Ilya
core +1 more source
Systemic Risk Analysis of Multi-Layer Financial Network System Based on Multiple Interconnections between Banks, Firms, and Assets. [PDF]
Entropy (Basel), 2022 Gao Q.
europepmc +1 more source
Counterparty Credit Risk and Wrong Way Risk; a Least Square Montecarlo Approach
, 2017 Peter Joe Silva +2 more
openalex +1 more source
Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives [PDF]
, 2016 Stéphane Crépey, Mai Nguyen
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Credit derivatives are a useful tool for lenders who want to reduce their exposure to a particular borrower but are unwilling to sell their claims on that borrower.
John Kiff, Ron Morrow
core
Microprudential bank capital regulation in a complex system. [PDF]
Heliyon, 2023 McKeever D.
europepmc +1 more source
Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic. [PDF]
J Behav Exp Finance, 2021 O'Donnell N, Shannon D, Sheehan B.
europepmc +1 more source