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Counterparty Credit Risk Introduction
, 2020 Counterparty credit risk (CCR) refers to the risk that a counterparty to a bilateral financial derivative contract may fail to fulfill its contractual obligation causing financial loss to the non-defaulting party. It will be incurred in the event of default by a counterparty.
Tim Xiao
core +4 more sources
Counterparty Credit Risk Simulation Methodology
, 2020 Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. It will be incurred in the event of default by a counterparty. Only over-the-counter (OTC) derivatives and financial security transactions (e.g., repo) are subject to counterparty risk.
Tim Xiao
core +5 more sources
Counterparty Credit Risk Simulation Analytics
, 2022 https://ia801006.us.archive.org/24/items/ccrSimulation/ccrSimulation-2 ...
Alex Yang
openaire +3 more sources
Counterparty Credit Risk Management in Industrial Corporates [PDF]
SSRN Electronic Journal, 2011 Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the ...
Langkamp, Christian
openaire +3 more sources
Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
doaj +1 more source
Mathematics, 2023 In this study, we consider an intensity-based model for pricing a commodity-linked bond with credit risk. Recently, the pricing of a commodity-linked bond with credit risk under the structural model has been studied.
Junkee Jeon, Geonwoo Kim
doaj +1 more source
A primer on counterparty valuation adjustments in South Africa
South African Journal of Economic and Management Sciences, 2014 Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads.
Gary Wayne van Vuuren +1 more
doaj +1 more source
Pricing vulnerable European options with dynamic correlation between market risk and credit risk
Journal of Management Science and Engineering, 2020 In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
doaj +1 more source
Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model
Risks, 2019 One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads.
Ioannis Anagnostou, Drona Kandhai
doaj +1 more source
AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
doaj +1 more source