A framework for collateral risk control determination [PDF]
This paper derives a general framework for collateral risk control determination in repurchase transactions or repos. The objective is to treat consistently heterogeneous collateral so that the collateral taker has a similar risk exposure whatever the ...
Auron-Nerin, Daniel +3 more
core
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
A Simple Model for Credit Migration and Spread Curves [PDF]
We propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the risk-neutral measure. This model is a hybrid of a structural and a reduced-form model.
Damir Filipovic, Li Chen
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
On bilateral counterparty credit risk in longevity-linked security [PDF]
, 2017 In recent decades, longevity risk has become a common risk in life insurance industry. Longevity-linked securities are created to hedge such risk and traded over the counter.
Wei, Linghua
core
The role of policies in reducing the cost of capital for offshore wind. [PDF]
iScience, 2023 Đukan M, Gumber A, Egli F, Steffen B.
europepmc +1 more source
Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities. [PDF]
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability.
Nathalie Rey
core
AIG Credit Risk Committee Approval Form [PDF]
, 2005 Accompanying the completed Credit Risk Approval Form is an executive summary from the Credit Risk Committee to the Chief Credit Office, Kevin McGinn, describing the potential CDO ...
AIG: Credit Risk Committee
core
State guarantees to counteract the financial effects of the COVID-19 pandemic on industrial supply chains. [PDF]
Heliyon, 2023 Drago G +3 more
europepmc +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