Results 81 to 90 of about 111,357 (244)
VALUING CREDIT DEFAULT SWAPS I: NO COUNTERPARTY DEFAULT RISK [PDF]
, 2000 This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty default risk.
Hull, John +2 more
core
The Potential for Tax Reforms in Post‐War Ukraine
Scottish Journal of Political Economy, EarlyView.ABSTRACT We analyze the major challenges for the Ukrainian tax system for the post‐war recovery of Ukraine. We identify the main areas of concern related to low compliance and high tax evasion and avoidance. Drawing on the recent economic literature and other countries' experiences, we propose realistic reforms to increase tax compliance and support ...
Anna Abate Bessomo +2 more
wiley +1 more source
Frontiers in Applied Mathematics and Statistics, 2019 Monte Carlo methods have become a staple use in risk departments of many financial institutions as these methods are relatively fast to compute even at higher dimensions and provide risk metrics such as percentile values.
Dominic Cortis
doaj +1 more source
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework
SIAM Journal on Financial Mathematics, 2023 Alessandro Gnoatto +2 more
semanticscholar +1 more source
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
core +1 more source
Knowledge Graphs and Critical Infrastructures: Friends or Foes?
WIREs Data Mining and Knowledge Discovery, Volume 16, Issue 2, June 2026.Conceptual overview of Knowledge Graph integration in Critical Infrastructures, illustrating interconnected systems, data flows, and their role in enhancing resilience and operational intelligence. ABSTRACT Knowledge Graphs (KGs) are a natural evolution of data models representing and connecting data in a network of nodes and relations.
José Miguel Blanco +3 more
wiley +1 more source
Credit Valuation Adjustment Compression by Genetic Optimization
Risks, 2019 Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
doaj +1 more source
Discrete Dynamics in Nature and Society, 2020 This paper is dedicated to building a multilayer financial network within banking sectors and firm sectors (nonbanking) on the balance sheet of two types of agents and to assessing systemic risk contagion in the reconstructed network.
Yuetang (Peter) Bian, Yu Wang, Lu Xu
doaj +1 more source
Modeling Path Dependent Counterparty Credit Risk [PDF]
SSRN Electronic Journal, 2015 Path dependent counterparty credit risk exposure modeling poses challenges. In this paper, we discuss practical models for consistent and accurate estimation of counterparty credit exposure involving path-dependent derivatives. We derive analytical formulas for standalone expected exposure (EE), potential future exposure (PFE) and unilateral CVA for ...
openaire +1 more source
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, Volume 46, Issue 5, Page 931-951, May 2026.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source