Results 1 to 10 of about 30,441 (165)
The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives. [PDF]
PLoS ONE, 2015 Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds.
Vahan Nanumyan +2 more
doaj +5 more sources
Central Counterparty Risk [PDF]
, 2011 A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member ...
Arnsdorf, Matthias
core +3 more sources
Risk-sharing or risk-taking? Counterparty risk, incentives and margins [PDF]
SSRN Electronic Journal, 2010 We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller.
Bruno Biais +2 more
core +4 more sources
Innovative methods of evaluating the counterparty during the organization internal control
Вестник университета, 2023 The article discusses the key issues of internal control measures when choosing a counterparty during the formation of an innovative economy. The purpose of the study is to develop indicators characterizing the counterparty, as well as an innovative risk
E. A. Kirova, T. V. Perminova
doaj +1 more source
RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 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 debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
openaire +9 more sources
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
doaj +1 more source
Bank Risk Determinants in Latin America
Risks, 2020 Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system.
Mariña Martínez-Malvar +1 more
doaj +1 more source
Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
doaj +1 more source
Clearing, Counterparty Risk, and Aggregate Risk [PDF]
IMF Economic Review, 2012 The paper studies the optimal design of clearing systems. The paper analyzes how counterparty risk should be allocated, whether traders should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of centralized clearing, as opposed to no or decentralized clearing, is the mutualization of ...
Biais, Bruno +2 more
openaire +7 more sources
Mathematical Model for Choosing Counterparty When Assessing Information Security Risks
Risks, 2021 The need to assess the risks of the trustworthiness of counterparties is increasing every year. The identification of increasing cases of unfair behavior among counterparties only confirms the relevance of this topic.
Andrey Koltays +2 more
doaj +1 more source