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
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.
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Credit derivatives: just-in-time provisioning for loan losses [PDF]
Credit derivative contracts offer a new route for managing counterparty exposures. This article discusses two formats of these contracts. The contracts have potential for providing portfolio managers with a cost effective, just-in-time source of ...
James T. Moser
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
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
How does risk information dissemination affect risk contagion in the interbank market? [PDF]
PLoS One, 2022 Li Z, Liu X.
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
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
doaj
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