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Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk

, 2019
Michèle Breton, Oussama Marzouk
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Research on the mechanism of leader-follower product sales competition based on market access restrictions and forward contract considerations. [PDF]

Heliyon
Wang L, Cao Z, Li P.
europepmc   +1 more source

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

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

Jamba
Mutsvene T, Klingelhöfer HE.
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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

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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. The paper finds that the counterparty exposure from margined derivatives transactions exceeded the required initial margin significantly in ...
Andreas Ita
openaire   +2 more sources

Counterparty Credit Risk in OTC Derivatives

SSRN Electronic Journal, 2019
We document how counterparty credit risk is priced in FX OTC derivatives. We employ a novel data-set of dealer-specific bid-ask quotes to analyze risk pricing using the decoupling of Swiss franc from the euro as an exogenous shock. First, the removal of the peg increased both the level of volatility and dealers' sensitivity to volatility for the FX ...
Florian Balke, Andreas Barth, Arne Reichel, Mark Wahrenburg   +3 more
openaire   +2 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 ...
Mitsuo I. Tsumagari
openaire   +2 more sources