Results 171 to 180 of about 111,357 (244)

Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]

Heliyon
Afzal F, Pan H, Afzal F, Gul RF.
europepmc   +1 more source

Financial inclusion and stability in Ethiopia using bank-level data: A two-step system GMM estimation. [PDF]

F1000Res
Arebo M, Hando F, Mekonnen A.
europepmc   +1 more source

Hedging climate change risks in Southern Africa's agricultural industry using catastrophe bonds. [PDF]

Jamba
Mutsvene T, Klingelhöfer HE.
europepmc   +1 more source

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Counterparty credit risk: Lessons from recent events

Journal of Risk Management in Financial Institutions, 2023
This paper looks at the lessons learned for risk management from two recent events, the default of Archegos Capital Management in March 2021 and the unusually large price jumps in energy markets in summer 2022.
Andreas Ita
semanticscholar   +2 more sources

Investor behavior, information disclosure strategy and counterparty credit risk contagion

Chaos, Solitons and Fractals, 2019
Counterparty credit risk caused by the excessive expansion of credit derivatives is becoming more and more prominent. The study of evolution mechanism of its contagion will help the financial regulators set up a scientific and accessible prevention and ...
Lei Wang, Shouwei Li, Tingqiang Chen
semanticscholar   +3 more sources

Pricing of vulnerable options with early counterparty credit risk

North American Journal of Economics and Finance, 2019
The counterparty credit risk should be considered when valuing options traded in the over-the-counter (OTC) markets because the OTC markets have rapidly grown, and the credit risk in the OTC markets has become an important issue since the global ...
Junkee Jeon, Geonwoo Kim
semanticscholar   +3 more sources

Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment

Physica A: Statistical Mechanics and Its Applications, 2019
This article constructs a SIRS model on counterparty credit risk contagion in the CRT market by considering the characteristics of preferential-random mixing attachment and heterogeneity of counterparties.
Tingqiang Chen, Jiepeng Wang, Haifei Liu, Yuanping He   +3 more
semanticscholar   +3 more sources

The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk

Journal of Financial Economics, 2019
Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007–2008 financial crisis.
George O. Aragon, Lei Li, J. Qian
semanticscholar   +3 more sources

Backtesting for Counterparty Credit Risk

SSRN Electronic Journal, 2018
The paper includes our recent findings on the backtesting for the EPE model to obtain the internal-model method approval. The challenge on the EPE backtesting is to obtain the statistical appealing threshold for overlapping horizons. We obtain the empirical thresholds using the random number skipping technique and obtain a model penalty function to ...

semanticscholar   +2 more sources