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COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK
International Journal of Theoretical and Applied Finance, 2020In this paper, we offer a network model that derives the expected counterparty risk of an arbitrary market after netting in a closed-form expression. Graph theory is used to represent market participants and their relationship among each other. We apply the powerful theory of characteristic functions (c.f.) and Hilbert transforms to determine the ...
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Quantitative Finance, 2013
Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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Pricing Counterparty Credit Risk
2015Until 2008, counterparty credit risk in books of OTC derivatives was seen as a secondary risk This was for a number of reasons Most counterparties had strong credit ratings and the world economy was going through a phase of low defaults As a result, the risk of counterparties defaulting was seen as negligible Also, the complexity of pricing, managing ...
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2016
Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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Credit Derivatives and Counterparty Credit Risk
2017Financial derivatives are generally contracts whose financial payoffs depend on the prices of certain underlying assets. The contracts are traded Over the Counter (OTC), or in a standardized form on organized exchanges. The most popular derivative types are forwards, futures, options, and swaps.
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Pricing Counterparty Credit Risk
2009We have analysed in the previous chapters the most straightforward ways of mitigating the risk of default of a counterparty, namely by imposing limits on transacted notional amounts and by negotiating collateral agreements with the counterparty.
Giovanni Cesari +5 more
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A Parametric Approach to Counterparty and Credit Risk
SSRN Electronic Journal, 2013In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. We explain how we measure the exposure for each counterparty with netting arrangements and collaterals.
Maximilian HHrtel, Giuseppe Orlando
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The Roots of Counterparty Credit Risk
2015For many years, the main focus of risk in books on financial derivatives was Market Risk Market Risk assesses the risk in the trading portfolio resulting from changes in the market prices An example would be: if we were short on an equity forward, the value of that forward will decrease if the underlying equity price increases Market risk metrics deal ...
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Counterparty Credit Risk in OTC Derivatives
SSRN Electronic Journal, 2019We 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 +3 more
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Derivative Credit Risk (Counterparty Risk)
2017The points discussed in the previous chapters could give the impression that credit risk can only occur if a creditor lends money to a borrower, but this is not the case, as when a derivative is contracted this generates a new risk whereby, should the case arise, the other party in the contract fails to meet their obligations; this risk is a particular
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