Results 71 to 80 of about 111,357 (244)
Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?
, 2020 A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of ...
Gould, Martin D. +3 more
core
Credit risk modeling and valuation: An introduction [PDF]
, 2002 Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities.
Giesecke, Kay
core
A Comprehensive Revisit to the Safe‐Haven Assets Literature
Journal of Economic Surveys, EarlyView.ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal +3 more
wiley +1 more source
Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility
Discrete Dynamics in Nature and Society, 2018 This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj +1 more source
Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization [PDF]
, 2018 This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing.
A. White
semanticscholar +1 more source
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
, 2016 In this research, we investigate the impact of stochastic volatility and interest rates on counterparty credit risk (CCR) for FX derivatives. To achieve this we analyse two real-life cases in which the market conditions are different, namely during the ...
S. Simaitis +3 more
semanticscholar +1 more source
Counterparty Credit Risk Management in Industrial Corporates [PDF]
SSRN Electronic Journal, 2011 Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the ...
openaire +1 more source
Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk [PDF]
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure
Damir Filipovic, Li Chen
core
Trust in Regulation in a Time of Revolution
Regulation &Governance, EarlyView.ABSTRACT This article examines trust in regulation as a core value and precondition of the modern liberal democratic regulatory state. It develops a concept of justified trust in regulation, grounded in regulatory trustworthiness—honesty, competence, and reliability—rather than in proxies such as partisan loyalty, blind faith, obedience, or resignation.
Cristie Ford
wiley +1 more source