Results 41 to 50 of about 5,830,336 (226)
Efficient Computation of Exposure Profiles for Counterparty Credit Risk [PDF]
SSRN Electronic Journal, 2014 Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the financial industry, especially since the recent credit ...
C.S.L. de Graaf (Kees) +3 more
openaire +4 more sources
International Insolvency Review, EarlyView.Abstract A key goal of the Capital Markets Union (CMU) Action Plan is to establish a functioning bond market, offering businesses finance options beyond traditional bank loans and creating a stable source of financing for the real economy across the EU.
Maryam Malakotipour
wiley +1 more source
International Insolvency Review, EarlyView.Abstract Modified universalism, as applied by the European Insolvency Regulation (EIR), allows not only for parallel main and secondary insolvency proceedings, but also for the creation of separate insolvency estates and the appointment of insolvency practitioners in each proceeding.
Remigijus Jokubauskas +1 more
wiley +1 more source
Restructuring counterparty credit risk
, 2013 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and
Oertel, Frank +2 more
core +1 more source
Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
International Journal of Financial Studies, 2015 This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees.
Annika Westphal
doaj +1 more source
One size fails all? EU insolvency law between harmonisation and 28th regime
International Insolvency Review, EarlyView.Abstract The European Union's efforts to harmonise national insolvency laws have long been seen as a key step towards the completion of the Internal Market and, in particular, its Capital Markets Union project. Yet despite years of legislative activity, meaningful convergence has remained elusive.
Wolf‐Georg Ringe
wiley +1 more source
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
Counterparty Risk Subject To ATE [PDF]
Rating trigger ATE (Additional Termination Event) is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level.
Zhou, Richard
core +2 more sources
Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
doaj +1 more source
Bankarstvo, 2014 The concept of supply chain finance is a response to global illiquidity, intensified through the global economic crisis and globalization of commercial and financial flows.
Kasavica Petar
doaj +1 more source