Results 191 to 200 of about 5,830,336 (226)

Counterparty Credit Risk Models

2016
In Part 2, we have discussed the validation of models for credit risk by looking at the three components of the regulatory formula for risk-weighted assets: probability of default, loss given default and exposure at default. In this chapter we turn to a type of credit risk that has become extremely important in the wake of the 2008 financial crisis and
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Management of Counterparty Credit Risk

2009
An intertemporal value transfer gives rise to agency problems and counterparty credit risk.
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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 ...
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Counterparty Credit Risk

2023
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Outlining Counterparty Credit Risk Exposure

2017
This chapter examines the very nature of Counterparty Credit Risk (CCR), or the manifestation of Credit and Default Risk in derivatives contracts, in which the exposure is measured at the level of a “Netting Set” of contracts, can change sign over time, and tends to be mitigated by the periodic posting of collateral. The chapter reviews how the growing
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Backtesting for counterparty credit risk

The Journal of Risk Model Validation, 2014
Sebastian Schnitzler, Niklas Rother, Holger Plank, Peter Glößner   +3 more
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Modeling counterparty credit risk

2005
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Counterparty credit risk and the credit default swap market

Journal of Financial Economics, 2012
Francis A Longstaff
exaly  

Investor behavior, information disclosure strategy and counterparty credit risk contagion

Chaos, Solitons and Fractals, 2019
Lei Wang, Tingqiang Chen, Shouwei Li
exaly  

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
Tingqiang Chen, Haifei Liu, Jiepeng Wang
exaly