Results 31 to 40 of about 107,244 (261)
Pricing vulnerable European options with dynamic correlation between market risk and credit risk
Journal of Management Science and Engineering, 2020 In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
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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
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AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
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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
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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
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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
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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
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Current and prospective estimate of counterparty risk through dynamic neural networks [PDF]
Risk Management Magazine, 2022 The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties.
Alessio Agnese +2 more
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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 +2 more
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Counterparty Credit Limit: Identifikasi, Pengukuran dan Pemetaan Risiko Bank-Bank di Indonesia
Journal of Management and Business Review, 2021 This study aims to carry out risk management planning, identification, qualitative analysis and quantitative risk calculations, establishing counterparty credit limits on banks in Indonesia.
Saur Costanius Simamora
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