Results 201 to 210 of about 111,357 (244)

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

Counterparty credit risk in a multivariate structural model with jumps

Finance, 2015
We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default ...
L. Ballotta, Gianluca Fusai
semanticscholar   +1 more source

Credit Derivatives and Counterparty Credit Risk

2017
Financial 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.
openaire   +1 more source

The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing

Journal of Financial Stability, 2021
Juan Arismendi-Zambrano, V. Belitsky, Vinicius Amorim Sobreiro, H. Kimura   +3 more
semanticscholar   +1 more source

Management of Counterparty Credit Risk

2009
An intertemporal value transfer gives rise to agency problems and counterparty credit risk.
openaire   +1 more source

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
openaire   +1 more source

Counterparty risk valuation on credit-linked notes under a Markov Chain framework

Applied Mathematics-A Journal of Chinese Universities, 2021
Ting-ting Jiang, Xiao-song Qian, George Xianzhi Yuan   +2 more
semanticscholar   +1 more source

The Roots of Counterparty Credit Risk

2015
For 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 ...
openaire   +2 more sources

Counterparty Credit Risk

2023
openaire   +1 more source