Results 11 to 20 of about 107,244 (261)
Valuing Credit Default Swaps I: No Counterparty Default Risk [PDF]
, 2000 This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty default risk.
John C. Hull, Alan White
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Counterparty credit risk, funding risk and central clearing
, 2015 In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs.
Yang Zhang
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The Use of Credit Default Swaps by Bond Mutual Funds: Liquidity Provision and Counterparty Risk
Journal of Financial Economics, 2017 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, Jun Qian
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Counterparty credit risk and derivatives pricing
Journal of Financial Economics, 2019 Abstract We derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005–2014. We find that the log-price difference between a derivative warrant with counterparty credit risk and an otherwise identical option without ...
Li, Gang, Zhang, Chu
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Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk [PDF]
, 2016 In this research, we investigate the impact of stochastic volatility and interest rates on counterparty credit risk (CCR) for FX derivatives. To achieve this we analyse two real-life cases in which the market conditions are different, namely during the ...
S. Simaitis +3 more
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The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]
, 2011 By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Burcu Kapar, José Olmo
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Artificial Neural Network Approach to Counterparty Credit Risk and XVA
Social Science Research Network, 2019 Novel approaches employing an Artificial Neural Networks to enhance the infrastructure of existing Monte Carlo Risk engines are presented. An Artificial Neural Network is utilized to retrieve trade- and market data from existing Expected Exposure ...
Sven Welack
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RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
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Counterparty Credit Risk on the Blockchain
, 2017 Counterparty credit risk is present in trades offinancial obligations. This master thesis investigates the up and comingtechnology blockchain and how it could be used to mitigate counterparty creditrisk. The study intends to cover essentials of the mathematical model expectedloss, along with an introduction to the blockchain technology.
Isak Starlander
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Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework [PDF]
Social Science Research Network, 2020 In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.
Alessandro Gnoatto +2 more
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