Results 81 to 90 of about 107,244 (261)
Profit and Risk under Subprime Mortgage Securitization
Discrete Dynamics in Nature and Society, 2011 We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs).
M. A. Petersen +4 more
doaj +1 more source
Counterparty Credit Risk in OTC Derivatives under Basel III
, 2016 Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses ...
Mabelle Sayah
semanticscholar +1 more source
Credit Derivatives in an Affine Framework [PDF]
We develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms.
Damir Filipovic, Li Chen
core
Counterparty risk analysis using Merton's structural model under Solvency II
Management Letters/Cuadernos de Gestión, 2014 The new solvency regulation in the European insurance sector, denominated Solvency II, will completely transform the system of capital requirements estimation.
Luis Otero González +3 more
doaj +1 more source
Counterparty Credit Risk Simulation Analytics
, 2022 https://ia801006.us.archive.org/24/items/ccrSimulation/ccrSimulation-2 ...
openaire +1 more source
A network of business relations to model counterparty risk [PDF]
This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model.
Antonella Basso, Diana Barro
core
Invariance Properties in the Dynamic Gaussian Copula Model*
ESAIM: Proceedings and Surveys, 2017 Based on Gaussian tail distribution estimates of independent interest, we study the mathematical properties of the default times (or any of their minima) in the dynamic Gaussian copula model.
Crépey Stéphane, Song Shiqi
doaj +1 more source
Credit derivatives: just-in-time provisioning for loan losses [PDF]
Credit derivative contracts offer a new route for managing counterparty exposures. This article discusses two formats of these contracts. The contracts have potential for providing portfolio managers with a cost effective, just-in-time source of ...
James T. Moser
core
Can digital financial awareness enhance enterprises' business credit?
International Review of Economics & FinanceThis study demonstrates that improved digital finance understanding significantly bolsters firm creditworthiness through three independent but interconnected economic mechanisms.
Bo Wu, Suhong Liao
doaj +1 more source
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk [PDF]
, 2009 Damiano Brigo +2 more
openalex +1 more source