Results 201 to 210 of about 107,244 (261)

Counterparty Credit Risk

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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Pricing Counterparty Credit Risk

2009
We 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, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, Ion Manda   +5 more
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Counterparty credit risk and the credit default swap market

Journal of Financial Economics, 2011
Abstract Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different ...
Priyank Gandhi, Francis A. Longstaff, Navneet Arora   +2 more
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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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COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK

International Journal of Theoretical and Applied Finance, 2020
In 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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Derivative Credit Risk (Counterparty Risk)

2017
The 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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Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk

Japan journal of industrial and applied mathematics, 2022
Donghyun Kim, Ji‐Hun Yoon
semanticscholar   +1 more source

Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

Acta Mathematicae Applicatae Sinica (English Series), 2022
Shuang Li, Cheng Peng, Ying Bao, Yanbin Zhao, Zhen Cao   +4 more
semanticscholar   +1 more source

Pricing of vulnerable exchange options with early counterparty credit risk

The North American journal of economics and finance, 2022
Donghyun Kim, Geonwoo Kim, Ji‐Hun Yoon
semanticscholar   +1 more source

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods

Review of Derivatives Research, 2021
Zonggang Ma, Chaoqun Ma, Zhijian Wu
semanticscholar   +1 more source