Results 21 to 30 of about 5,830,336 (226)

Pre-Settlement Risk Limits for Non-Financial Counterparty in the Polish Over-the-Counter Derivatives Market

Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia, 2023
Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management
Piotr Wybieralski
doaj   +1 more source

A New Default Probability Calculation Formula and Its Application under Uncertain Environments

Discrete Dynamics in Nature and Society, 2018
In the real world, corporate defaults will be affected by both external market shocks and counterparty risks. With this in mind, we propose a new default intensity model with counterparty risks based on both external shocks and the internal contagion ...
Liang Wu, Xian-bin Mei, Jian-guo Sun
doaj   +1 more source

Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017
According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
doaj   +1 more source

Dynamic asset (and liability) management under market and credit risk [PDF]

, 2003
We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets.
Mitra, G, Zenios, SA, Jobst, NJ
core   +6 more sources

Criteria for Classification of Risks of Project Financing in Оrder to Manage the Risks of Specialized Lending Portfolio

Мир новой экономики, 2018
In the article we analyzed international and Russian methodological approaches for classification of risk in project finance and identified crucial criteria which provide further framework for development of principles and management mechanism of ...
T. S. Gaibov
doaj   +1 more source

The Counterparty Assessment Mechanism in the Receivables Management System of Agricultural Organizations in the Republic of Belarus and the Ukraine

Zeszyty Naukowe Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie. Problemy Rolnictwa Światowego, 2020
The article investigates issues regarding settlements between business counterparts in the Republic of Belarus, including those between Ukrainian and Belarusian enterprises.
Sviatlana Shсharbatsiuk, Pelageya Papkovskaya, Kateryna Pylypenko   +2 more
doaj   +1 more source

Risks of collective investment undertakings in the context of global capital markets [PDF]

SHS Web of Conferences, 2020
In the context of globalization, international institutional investors have taken over a significant proportion of global investment assets. Among this group also belong to collective investment undertakings whose primary motive is regulated by ...
Pfeiferová Daniela, Kuchařová Ivana
doaj   +1 more source

The counterparty credit risk appetite in the Polish over-the-counter derivatives market

International Entrepreneurship Review
Objective: The article aims to study the selected approach used to manage the counterparty credit risk, namely the application of the pre-settlement risk limits in the Polish over-the-counter derivatives market between financial institutions and non ...
Piotr Wybieralski
doaj   +1 more source

Managing Counterparty Credit Risk Via BSDEs [PDF]

SSRN Electronic Journal, 2016
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE.
Lesniewski, Andrew, Richter, Anja
openaire   +2 more sources

Beyond the Clouds: A Systemic Perspective on Risk——A Review of Counterparty Credit Risk Contagion in Financial Markets: Theory, Models, and Case Studies

Zhishi guanli luntan
[Purpose/Significance] Against the backdrop of increasingly interconnected global financial markets and the growing complexity of counterparty credit risk contagion mechanisms, this article aims to review the core content, theoretical contributions, and ...
Yang Xiaoguang
doaj   +1 more source