Results 111 to 120 of about 5,830,336 (226)

Semi-Closed-Form Pricing of Vulnerable Geometric Asian Options Under a Three-Factor Stochastic Volatility Jump-Diffusion Model with Stochastic Interest Rates

Mathematics
This paper develops a semi-closed-form pricing framework for vulnerable geometric Asian options under a three-factor stochastic volatility jump-diffusion model with stochastic interest rates.
Libin Wang, Ruonan Zhang
doaj   +1 more source

Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac [PDF]

Farmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s
Austin Kelly
core  

From Fault Tree to Credit Risk Assessment: A Case Study [PDF]

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event.
Hayette GATFAOUI
core   +2 more sources

A parametric approach to counterparty and credit risk

, 2014
We present the results of a business solution on how to measure credit and counter-party risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. While there are very
Haertel, M, Orlando, G
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

Credit contagion in a network of firms with spatial interaction [PDF]

In this contribution we carried out a wide simulation analysis in order to study the contagion mechanism induced in a portfolio of bank loans by the presence of business relationships among the positions.
Antonella Basso, Diana Barro
core  

Rethinking Credit Ratings for Africa: A Context-Integrated Conceptual Model for the Insurance Sector under the African Continental Free Trade Area

International Journal of Advanced Business Studies
Credit rating systems function as central information infrastructures within modern financial markets. They guide capital allocation, influence regulatory recognition, and shape investor, policyholder, and counterparty confidence.
Agripah Marangwanda
doaj   +1 more source

Counterparty Credit Risk on the Blockchain

, 2017
Motpartsrisk är närvarande i finansiella obligationer. Den här uppsatsen un- dersöker den lovande teknologin blockkedjan och hur den kan användas för att reducera motpartsrisk. Studien har för avsikt att täcka det essentiel- la i den matematiska modellen för förväntad förlust, samt en introduktion om blockkedjeteknologi.
openaire   +1 more source

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, Bruno Peréz Ferreira   +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