Results 211 to 220 of about 107,244 (261)

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

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 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

Counterparty Credit Risk

2023
openaire   +1 more source

Investor behavior, information disclosure strategy and counterparty credit risk contagion

Chaos, Solitons & Fractals, 2019
Lei Wang, Shouwei Li, Tingqiang Chen
semanticscholar   +1 more source

Pricing of vulnerable options with early counterparty credit risk

The North American journal of economics and finance, 2019
Junkee Jeon, Geonwoo Kim
semanticscholar   +1 more source

Counterparty Risk in Credit Derivative Contracts

2012
Abstract This article addresses the challenges posed by marginal default distribution models – for illustrative purposes it uses a straightforward Gaussian copula – and details counterparty risk corrections for credit default swaps (CDSs), index CDSs, and collateralised debt obligations.
openaire   +1 more source